On bounds of value-at-risk and convex risk measure of portfolio of weighted dependent risks (Q5193839)
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scientific article; zbMATH DE number 7108336
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| English | On bounds of value-at-risk and convex risk measure of portfolio of weighted dependent risks |
scientific article; zbMATH DE number 7108336 |
Statements
20 September 2019
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DU-spread
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expected shortfall
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lower orthant order
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upper orthant order
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weakly conditional increasing in sequence order
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0.8703710436820984
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0.8389403820037842
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0.8211024403572083
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0.8033027648925781
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0.8012844920158386
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