Set-valued risk statistics with scenario analysis

DOI10.1016/j.spl.2017.08.004zbMath1405.91250OpenAlexW2746886339MaRDI QIDQ2406800

Yan-Hong Chen, Hu, Yijun

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.08.004

zbMATH Keywords

convexitycoherencyrepresentation resultsset-valued risk statistics

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items

Multivariate coherent risk measures induced by multivariate convex risk measures, SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES, Regulator-based risk statistics for portfolios, Systemic risk statistics with scenario analysis

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