Worst-case range value-at-risk with partial information
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Publication:4635247
DOI10.1137/17M1126138zbMATH Open1408.91240OpenAlexW2591206341MaRDI QIDQ4635247FDOQ4635247
Authors: Lujun Li, Hui Shao, Ruodu Wang, Jingping Yang 
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1126138
Recommendations
Multivariate distribution of statistics (62H10) Statistical methods; risk measures (91G70) Inequalities; stochastic orderings (60E15)
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Cited In (21)
- Range value-at-risk bounds for unimodal distributions under partial information
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