Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (Q2015653): Difference between revisions

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+https://doi.org/10.1016/j.insmatheco.2013.09.017
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+W2028690092
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Risk aggregation with dependence uncertainty
@@ Property / cites work: Risk aggregation with dependence uncertainty / rank @@
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+Q5706744
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@@ Property / cites work @@
+Sharp bounds on the expected shortfall for a sum of dependent random variables
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+Bounds for joint portfolios of dependent risks
@@ Property / cites work: Bounds for joint portfolios of dependent risks / rank @@
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@@ Property / cites work @@
+Sharp Bounds for Sums of Dependent Risks
@@ Property / cites work: Sharp Bounds for Sums of Dependent Risks / rank @@
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+Advances in Complete Mixability
@@ Property / cites work: Advances in Complete Mixability / rank @@
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@@ Property / cites work @@
+Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
+Normal rank
@@ Property / cites work @@
+The complete mixability and convex minimization problems with monotone marginal densities
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@@ links / mardi / name / links / mardi / name @@
+Publication:2015653