Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR (Q992696)

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Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
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    title
    Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR (English)
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    author
    Chenghu Ma
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    Wing-Keung Wong
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    publication date
    9 September 2010
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    zbMATH DE Number
    5781898
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    zbMATH Keywords
    decision analysis
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    risk analysis
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    risk attributes
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    utility
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    stochastic dominance
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