Upper bounds for strictly concave distortion risk measures on moment spaces (Q1799647)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Upper bounds for strictly concave distortion risk measures on moment spaces |
scientific article; zbMATH DE number 6958596
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Upper bounds for strictly concave distortion risk measures on moment spaces |
scientific article; zbMATH DE number 6958596 |
Statements
Upper bounds for strictly concave distortion risk measures on moment spaces (English)
0 references
19 October 2018
0 references
value-at-risk (VaR)
0 references
coherent risk measure
0 references
model uncertainty
0 references
Cantelli bound
0 references
distortion function
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8139039278030396
0 references
0.8062314987182617
0 references
0.7975471019744873
0 references
