Set-valued risk statistics with scenario analysis

DOI10.1016/j.spl.2017.08.004zbMath1405.91250MaRDI QIDQ2406800

Yan-Hong Chen, Hu, Yijun

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.08.004

zbMATH Keywords

convexity; coherency; representation results; set-valued risk statistics

Mathematics Subject Classification ID

46N10: Applications of functional analysis in optimization, convex analysis, mathematical programming, economics

Related Items

SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES, Systemic risk statistics with scenario analysis, Regulator-based risk statistics for portfolios, Multivariate coherent risk measures induced by multivariate convex risk measures

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