Joint Mixability
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Publication:3186528
DOI10.1287/moor.2015.0755zbMath1382.60022OpenAlexW4233783080WikidataQ87191950 ScholiaQ87191950MaRDI QIDQ3186528
Publication date: 10 August 2016
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/0626362b6ff2b013a3dc27b790b50bb062a5bb49
Related Items (31)
Admissible ways of merging \(p\)-values under arbitrary dependence ⋮ Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables ⋮ Risk bounds for factor models ⋮ Extremal Probability Bounds in Combinatorial Optimization ⋮ Measuring herd behavior: properties and pitfalls ⋮ A note on joint mix random vectors ⋮ General convex order on risk aggregation ⋮ Ordering and inequalities for mixtures on risk aggregation ⋮ Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence ⋮ Diversification quotients based on VaR and ES ⋮ Multi-level bottleneck assignment problems: complexity and sparsity-exploiting formulations ⋮ Coskewness under dependence uncertainty ⋮ Pairwise counter-monotonicity ⋮ Rearrangement algorithm and maximum entropy ⋮ Random locations of periodic stationary processes ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Current open questions in complete mixability ⋮ Block rearranging elements within matrix columns to minimize the variability of the row sums ⋮ Multivariate countermonotonicity and the minimal copulas ⋮ Decomposing aggregate risk into marginal risks under partial information: A top-down method ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ Robustness regions for measures of risk aggregation ⋮ Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant ⋮ A model-free approach to multivariate option pricing ⋮ On minimal copulas under the concordance order ⋮ Centers of probability measures without the mean ⋮ Sums of standard uniform random variables ⋮ On sums of two counter-monotonic risks ⋮ Studying mixability with supermodular aggregating functions ⋮ Averaging \(p\)-values under exchangeability
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