A directional multivariate value at risk (Q896753): Difference between revisions

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+Rosa Elvira Lillo
@@ Property / author: Rosa Elvira Lillo / rank @@
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+MaRDI publication profile
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+W1645507373
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+.00908
@@ Property / arXiv ID: 1502.00908 / rank @@
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@@ Property / cites work @@
+Q3420247
@@ Property / cites work: Q3420247 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Vector risk functions
@@ Property / cites work: Vector risk functions / rank @@
+Normal rank
@@ Property / cites work @@
+Quantile curves and dependence structure for bivariate distributions
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@@ Property / cites work @@
+Risk aggregation with dependence uncertainty
@@ Property / cites work: Risk aggregation with dependence uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent risk measures for portfolio vectors
@@ Property / cites work: Consistent risk measures for portfolio vectors / rank @@
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+Q4593690
@@ Property / cites work: Q4593690 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate risks and depth-trimmed regions
@@ Property / cites work: Multivariate risks and depth-trimmed regions / rank @@
+Normal rank
@@ Property / cites work @@
+On a Geometric Notion of Quantiles for Multivariate Data
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+On multivariate extensions of value-at-risk
@@ Property / cites work: On multivariate extensions of value-at-risk / rank @@
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+Fat tails, VaR and subadditivity
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+Bounds for functions of multivariate risks
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+Quantiles for finite and infinite dimensional data
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+Understanding Relationships Using Copulas
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+Multivariate quantiles and multiple-output regression quantiles: from \(L_{1}\) optimization to halfspace depth
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+Duality for Set-Valued Measures of Risk
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+Q4902474
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+Vector-valued coherent risk measures
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+\(M\)-estimation, convexity and quantiles
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+Q3145542
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+Portfolio selection through an extremality stochastic order
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+Properties and calculation of multivariate risk measures: MVaR and MCVaR
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+Kendall distributions and level sets in bivariate exchangeable survival models
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+An introduction to copulas.
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+DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
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+Heavy-Tail Phenomena
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+Generalized quantile processes based on multivariate depth functions, with applications in nonparametric multivariate analysis.
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+Stochastic orders
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+Q2741129
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+Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
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+General notions of statistical depth function.
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