Improved algorithms for computing worst value-at-risk
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Publication:2397478
DOI10.1515/strm-2015-0028zbMath1361.91062OpenAlexW2585021503WikidataQ87348850 ScholiaQ87348850MaRDI QIDQ2397478
David Saunders, Amir Memartoluie, Marius Hofert, Tony S. Wirjanto
Publication date: 22 May 2017
Published in: Statistics \& Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://www.degruyter.com/view/j/strm.2017.34.issue-1-2/strm-2015-0028/strm-2015-0028.xml?format=INT
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Related Items (4)
The impact of correlation on (Range) Value-at-Risk ⋮ High dimensional Bernoulli distributions: algebraic representation and applications ⋮ Range value-at-risk bounds for unimodal distributions under partial information ⋮ Upper bounds for strictly concave distortion risk measures on moment spaces
Uses Software
Cites Work
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