One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles

DOI10.1137/22m1531567zbMath1520.91435OpenAlexW4378976224MaRDI QIDQ6109912

Ruodu Wang, Tolulope Fadina, Peng Liu

Publication date: 4 July 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/22m1531567

zbMATH Keywords

medianquantilesvalue-at-riskordinalityquantile maximization

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70)

Related Items (1)

An axiomatic approach to default risk and model uncertainty in rating systems

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