Risk bounds with additional information on functionals of the risk vector
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Cites work
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- A model-free version of the fundamental theorem of asset pricing and the super-replication theorem
- Bounds for functions of dependent risks
- Bounds for functions of multivariate risks
- Bounds for joint portfolios of dependent risks
- Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance
- Inequalities for the expectation of ?-monotone functions
- Joint Mixability
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Model-independent bounds for option prices -- a mass transport approach
- Probabilistic arithmetic. I: Numerical methods for calculating convolutions and dependency bounds
- Reducing model risk via positive and negative dependence assumptions
- Reduction of Value-at-Risk bounds via independence and variance information
- Risk bounds and partial dependence information
- Risk bounds for factor models
- Sharp bounds for sums of dependent risks
- Stochastic bounds on sums of dependent risks
- Using copulae to bound the value-at-risk for functions of dependent risks
- VaR bounds for joint portfolios with dependence constraints
- VaR bounds in models with partial dependence information on subgroups
- Worst-case range value-at-risk with partial information
Cited in
(7)- Detection of arbitrage opportunities in multi-asset derivatives markets
- Bounds for functions of multivariate risks
- Vector risk functions
- Marginal and dependence uncertainty: bounds, optimal transport, and sharpness
- Computing best bounds for nonlinear risk measures with partial information
- Model-free bounds on value-at-risk using extreme value information and statistical distances
- Extreme biconic copulas: characterization, properties and extensions to aggregation functions
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