Desmettre, Sascha; Laudagé, Christian; Sass, Jörn - In: Risks : open access journal 8 (2020) 4/114, pp. 1-22
returns. We show that the pricing bounds obtained from the Value-at-Risk admit a non-smooth behavior under parameter changes … missing convexity of the Value-at-Risk as main reason for this behavior. Due to the strong connection between good-deal bounds …