Equivalent distortion risk measures on moment spaces (Q1726870)
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scientific article; zbMATH DE number 7026299
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Equivalent distortion risk measures on moment spaces |
scientific article; zbMATH DE number 7026299 |
Statements
Equivalent distortion risk measures on moment spaces (English)
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20 February 2019
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coherent risk measure
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distortion function
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value-at-risk (VaR)
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expected shortfall (ES)
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model uncertainty
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0.8139039278030396
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0.7930083870887756
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0.7837201952934265
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0.7819598913192749
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0.7801908850669861
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