A note on convex risk statistic
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Publication:1939712
DOI10.1016/j.orl.2012.09.011zbMath1258.91112MaRDI QIDQ1939712
Publication date: 5 March 2013
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2012.09.011
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Multivariate convex risk statistics with scenario analysis, Multivariate shortfall risk statistics with scenario analysis, Systemic risk statistics with scenario analysis, Capital allocation with multivariate risk statistics with positive homogeneity and subadditivity, Regulator-based risk statistics with scenario analysis, Regulator-based risk statistics for portfolios, Quasiconvex risk statistics with scenario analysis, Set-valued risk statistics with scenario analysis
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