On bounds of value-at-risk and convex risk measure of portfolio of weighted dependent risks

DOI10.13371/J.CNKI.CHIN.Q.J.M.2018.04.009MaRDI QIDQ5193839zbMATHFDO

Authors

Publication date 20 September 2019

zbMATH Keywords

expected shortfalllower orthant orderupper orthant orderDU-spreadweakly conditional increasing in sequence order

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cited in

(1)

• On the bounds of value-at-risk for portfolio of interdependent risks

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