Probability metrics with applications in finance
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Publication:2324082
DOI10.1080/15598608.2008.10411874zbMath1425.91394MaRDI QIDQ2324082
Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov
Publication date: 13 September 2019
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15598608.2008.10411874
probability metrics; risk measure; stochastic dominance; dispersion measure; deviation measure; benchmark-tracking
60E15: Inequalities; stochastic orderings
91G70: Statistical methods; risk measures
91G10: Portfolio theory
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