Pages that link to "Item:Q2879011"
From MaRDI portal
The following pages link to Robust risk measurement and model risk (Q2879011):
Displayed 49 items.
- Dynamic portfolio management with views at multiple horizons (Q668857) (← links)
- Learning models with uniform performance via distributionally robust optimization (Q820804) (← links)
- The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion (Q1622826) (← links)
- Reverse sensitivity testing: what does it take to break the model? (Q1634305) (← links)
- Robust measurement of (heavy-tailed) risks: theory and implementation (Q1657439) (← links)
- Scalable information inequalities for uncertainty quantification (Q1685620) (← links)
- Robust bounds in multivariate extremes (Q1704149) (← links)
- Doubts and variability: a robust perspective on exotic consumption series (Q1753715) (← links)
- Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty (Q2029786) (← links)
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach (Q2076852) (← links)
- Simulation methods for robust risk assessment and the distorted mix approach (Q2076947) (← links)
- A generalized error distribution copula-based method for portfolios risk assessment (Q2159132) (← links)
- Frameworks and results in distributionally robust optimization (Q2165596) (← links)
- On distributionally robust extreme value analysis (Q2191428) (← links)
- Robust trade-off portfolio selection (Q2218875) (← links)
- Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach (Q2231329) (← links)
- Aggregation of opinions and risk measures (Q2231390) (← links)
- Sensitivity analysis with \(\chi^2\)-divergences (Q2234772) (← links)
- Robust quantile estimation under bivariate extreme value models (Q2303024) (← links)
- Model-free bounds on value-at-risk using extreme value information and statistical distances (Q2415965) (← links)
- Two-stage nested simulation of tail risk measurement: a likelihood ratio approach (Q2681447) (← links)
- Robust Sensitivity Analysis for Stochastic Systems (Q2833103) (← links)
- On the Measurement of Economic Tail Risk (Q3178757) (← links)
- Rao’s quadratic entropy and maximum diversification indexation (Q4554479) (← links)
- Model risk of contingent claims (Q4554508) (← links)
- Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios (Q4555154) (← links)
- On the price of risk in a mean-risk optimization model (Q4619512) (← links)
- Robust stochastic control modeling of dam discharge to suppress overgrowth of downstream harmful algae (Q4627134) (← links)
- Uncertainty Quantification for Markov Processes via Variational Principles and Functional Inequalities (Q4961000) (← links)
- Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees (Q4971591) (← links)
- Quantification of model uncertainty on path-space<i>via</i>goal-oriented relative entropy (Q5006303) (← links)
- Formulation and properties of a divergence used to compare probability measures without absolute continuity (Q5024347) (← links)
- (Q5054641) (← links)
- Myopic robust index tracking with Bregman divergence (Q5068089) (← links)
- A simple robust asset pricing model under statistical ambiguity (Q5079377) (← links)
- Subsampling to Enhance Efficiency in Input Uncertainty Quantification (Q5095183) (← links)
- Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty (Q5106426) (← links)
- MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING (Q5114682) (← links)
- (Q5120591) (← links)
- Technical Note—The Joint Impact of<i>F</i>-Divergences and Reference Models on the Contents of Uncertainty Sets (Q5126612) (← links)
- Optimization-Based Calibration of Simulation Input Models (Q5129200) (← links)
- RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS (Q5140089) (← links)
- Uncertainty Quantification for Markov Random Fields (Q5158928) (← links)
- Quantifying Distributional Model Risk via Optimal Transport (Q5219730) (← links)
- Robust Actuarial Risk Analysis (Q5742897) (← links)
- Distributionally Robust Inventory Control When Demand Is a Martingale (Q5868962) (← links)
- Portfolio selection: a target-distribution approach (Q6113329) (← links)
- Worst-case moments under partial ambiguity (Q6174089) (← links)
- Minimal Kullback–Leibler Divergence for Constrained Lévy–Itô Processes (Q6202389) (← links)