Range value-at-risk bounds for unimodal distributions under partial information (Q2212135): Difference between revisions

@@ Property / describes a project that uses @@
+CASdatasets
@@ Property / describes a project that uses: CASdatasets / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+QRM
@@ Property / describes a project that uses: QRM / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2020.05.013
+Normal rank
@@ Property / OpenAlex ID @@
+W3033719613
@@ Property / OpenAlex ID: W3033719613 / rank @@
+Normal rank
@@ Property / cites work @@
+Assessing financial model risk
@@ Property / cites work: Assessing financial model risk / rank @@
+Normal rank
@@ Property / cites work @@
+The Mean, Median, and Mode of Unimodal Distributions:A Characterization
+Normal rank
@@ Property / cites work @@
+Q5788939
@@ Property / cites work: Q5788939 / rank @@
+Normal rank
@@ Property / cites work @@
+Algorithms for Finding Copulas Minimizing Convex Functions of Sums
+Normal rank
@@ Property / cites work @@
+Risk bounds for factor models
@@ Property / cites work: Risk bounds for factor models / rank @@
+Normal rank
@@ Property / cites work @@
+Reducing model risk via positive and negative dependence assumptions
+Normal rank
@@ Property / cites work @@
+Block rearranging elements within matrix columns to minimize the variability of the row sums
+Normal rank
@@ Property / cites work @@
+Robustness and sensitivity analysis of risk measurement procedures
+Normal rank
@@ Property / cites work @@
+How to estimate the value at risk under incomplete information
+Normal rank
@@ Property / cites work @@
+Q2968270
@@ Property / cites work: Q2968270 / rank @@
+Normal rank
@@ Property / cites work @@
+Worst case risk measurement: back to the future?
@@ Property / cites work: Worst case risk measurement: back to the future? / rank @@
+Normal rank
@@ Property / cites work @@
+Improved algorithms for computing worst value-at-risk
+Normal rank
@@ Property / cites work @@
+Q3636573
@@ Property / cites work: Q3636573 / rank @@
+Normal rank
@@ Property / cites work @@
+Best bounds for positive distributions with fixed moments
+Normal rank
@@ Property / cites work @@
+Generalized convex inequalities
@@ Property / cites work: Generalized convex inequalities / rank @@
+Normal rank
@@ Property / cites work @@
+Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization
+Normal rank
@@ Property / cites work @@
+Worst-Case Range Value-at-Risk with Partial Information
+Normal rank
@@ Property / cites work @@
+Q5706744
@@ Property / cites work: Q5706744 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds for joint portfolios of dependent risks
@@ Property / cites work: Bounds for joint portfolios of dependent risks / rank @@
+Normal rank
@@ Property / cites work @@
+Computation of sharp bounds on the distribution of a function of dependent risks
+Normal rank
@@ Property / cites work @@
+VaR bounds for joint portfolios with dependence constraints
+Normal rank
@@ Property / cites work @@
+Reduction of Value-at-Risk bounds via independence and variance information
+Normal rank
@@ Property / cites work @@
+Analysis of risk bounds in partially specified additive factor models
+Normal rank
@@ Property / cites work @@
+Q5386488
@@ Property / cites work: Q5386488 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic orders
@@ Property / cites work: Stochastic orders / rank @@
+Normal rank
@@ Property / cites work @@
+Probability for Statisticians
@@ Property / cites work: Probability for Statisticians / rank @@
+Normal rank
@@ Property / cites work @@
+On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
+Normal rank
@@ 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
+Normal rank