SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY
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Publication:2968276
DOI10.1111/mafi.12076zbMath1390.91130OpenAlexW3123856143MaRDI QIDQ2968276
Publication date: 13 March 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12076
incomplete marketperturbation analysisportfolio selectionsensitivity-based optimizationprobability distortionmonolinearity
Related Items (6)
Nonparametric inference for sensitivity of Haezendonck–Goovaerts risk measure ⋮ Computing Sensitivities for Distortion Risk Measures ⋮ Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time ⋮ Optimization in curbing risk contagion among financial institutes ⋮ A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters ⋮ An efficient exponential twisting importance sampling technique for pricing financial derivatives
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