On risk management problems related to a coherence property (Q5475313): Difference between revisions

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+Radu S. Tunaru
@@ Property / author: Radu S. Tunaru / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697680500467889
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+W1989049629
@@ Property / OpenAlex ID: W1989049629 / rank @@
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+A comparison of quantile estimators
@@ Property / cites work: A comparison of quantile estimators / rank @@
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@@ Property / cites work @@
+A new distribution-free quantile estimator
@@ Property / cites work: A new distribution-free quantile estimator / rank @@
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@@ Property / cites work @@
+On the worst conditional expectation.
@@ Property / cites work: On the worst conditional expectation. / rank @@
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@@ Property / cites work @@
+Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
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@@ Property / cites work @@
+Dual Stochastic Dominance and Quantile Risk Measures
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@@ Property / cites work @@
+Local Expected Shortfall-Hedging in Discrete Time *
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@@ Property / cites work @@
+Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
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@@ links / mardi / name / links / mardi / name @@
+Publication:5475313