ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
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Publication:4635030
DOI10.1111/mafi.12140zbMath1403.91188OpenAlexW3122632845MaRDI QIDQ4635030
Ruodu Wang, Jun Cai, Haiyan Liu
Publication date: 13 April 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12140
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Related Items (11)
The average risk sharing problem under risk measure and expected utility theory ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ COLLECTIVE RISK MODELS WITH DEPENDENCE UNCERTAINTY ⋮ Ordering and inequalities for mixtures on risk aggregation ⋮ Equivalent distortion risk measures on moment spaces ⋮ Extreme-aggregation measures in the RDEU model ⋮ Worst-Case Range Value-at-Risk with Partial Information ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ Exhibiting abnormal returns under a risk averse strategy ⋮ A Theory for Measures of Tail Risk ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals
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