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

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+Coherent Measures of Risk
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+Risk aggregation with dependence uncertainty
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+Consistent risk measures for portfolio vectors
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+Fat tails, VaR and subadditivity
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+Quantiles for finite and infinite dimensional data
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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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