Bounds for nested law invariant coherent risk measures (Q1939679)
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scientific article; zbMATH DE number 6141217
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Bounds for nested law invariant coherent risk measures |
scientific article; zbMATH DE number 6141217 |
Statements
Bounds for nested law invariant coherent risk measures (English)
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5 March 2013
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risk measures
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law invariant
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coherent
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Average Value-at-Risk
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comonotonic
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0.7814684510231018
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0.774607241153717
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0.7648196816444397
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0.7611677050590515
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