Properties and calculation of multivariate risk measures: MVaR and MCVaR (Q2449353)

From MaRDI portal
Revision as of 12:37, 8 July 2024 by ReferenceBot (talk | contribs) (‎Changed an Item)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Properties and calculation of multivariate risk measures: MVaR and MCVaR
scientific article

    Statements

    title
    Properties and calculation of multivariate risk measures: MVaR and MCVaR (English)
    0 references
    author
    Jinwook Lee
    0 references
    Prékopa, András
    0 references
    publication date
    8 May 2014
    0 references
    Mathematics Subject Classification ID
    91B30
    0 references
    60E15
    0 references
    62P05
    0 references
    90C15
    0 references
    zbMATH DE Number
    6293010
    0 references
    zbMATH Keywords
    multivariate risk measure
    0 references
    multivariate value-at-risk (MVaR)
    0 references
    multivariate conditional value-at-risk (MCVaR)
    0 references
    multivariate quantile function
    0 references
    multivariate stochastic order
    0 references
    risk management for correlated assets
    0 references
    stochastic optimization
    0 references
    describes a project that uses
    SAS
    0 references
    R
    0 references
    Stata
    0 references
    OpenAlex ID
    W1963660158
    0 references
    cites work
    Q4730756
    0 references
    Q4449202
    0 references
    Q3773148
    0 references
    Q5502770
    0 references
    Q2778807
    0 references
    Q2724706
    0 references
    Q5645216
    0 references
    Q5682159
    0 references
    Q4838490
    0 references
    Q3840335
    0 references
    Q3579521
    0 references
    Q3822244
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2449353&oldid=35387894"
    Powered by MediaWiki