Bounds for nested law invariant coherent risk measures (Q1939679): Difference between revisions

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Property / cites work: Q3528030 / rank
 
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Property / cites work: Dynamic coherent risk measures / rank
 
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Property / cites work: Conditional Risk Mappings / rank
 
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Property / cites work: Optimization of Convex Risk Functions / rank
 
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Latest revision as of 05:32, 6 July 2024

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Bounds for nested law invariant coherent risk measures
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    Bounds for nested law invariant coherent risk measures (English)
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    5 March 2013
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    risk measures
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    law invariant
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    coherent
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    Average Value-at-Risk
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    comonotonic
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