The complete mixability and convex minimization problems with monotone marginal densities
From MaRDI portal
Publication:634547
DOI10.1016/J.JMVA.2011.05.002zbMATH Open1229.60019OpenAlexW2096344197MaRDI QIDQ634547FDOQ634547
Publication date: 16 August 2011
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2011.05.002
Recommendations
- Multi-marginal maximal monotonicity and convex analysis
- Monotone mixed variational inequalities
- Generalized mixed equilibria, variational inequalities and constrained convex minimization
- Convexification and monotone optimization
- Generalized monotone mixed variational inequalities
- Publication:4939329
- scientific article; zbMATH DE number 3932824
- On Sufficient Conditions for Mixed Monotonicity
- The monotone extended second-order cone and mixed complementarity problems
- Monotone generalized variational inequalities and generalized complementarity problems
Cites Work
- Title not available (Why is that?)
- An introduction to copulas.
- Random variables with maximum sums
- Stochastic orders
- Non-additive measure and integral
- Using copulae to bound the value-at-risk for functions of dependent risks
- Directional dependence in multivariate distributions
- Title not available (Why is that?)
- A class of multivariate copulas with bivariate Fréchet marginal copulas
- Choosing joint distributions so that the variance of the sum is small
- Title not available (Why is that?)
- Bounds for functions of dependent risks
- On a class of extremal problems in statistics
- Inequalities for the expectation of ?-monotone functions
- The minimum of the expected value of the product of three random variables in the Fréchet class
- Variance reduction in simulation studies
Cited In (72)
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates
- Range value-at-risk bounds for unimodal distributions under partial information
- On the multidimensional extension of countermonotonicity and its applications
- Bounding stochastic dependence, joint mixability of matrices, and multidimensional bottleneck assignment problems
- Centers of probability measures without the mean
- Copula-based grouped risk aggregation under mixed operation.
- Upper bounds for strictly concave distortion risk measures on moment spaces
- Admissible ways of merging \(p\)-values under arbitrary dependence
- Bounds on integrals with respect to multivariate copulas
- VaR bounds in models with partial dependence information on subgroups
- General convex order on risk aggregation
- On aggregation sets and lower-convex sets
- Studying mixability with supermodular aggregating functions
- Extremal dependence concepts
- Advances in complete mixability
- A review on ambiguity in stochastic portfolio optimization
- Robust Actuarial Risk Analysis
- Diversification limit of quantiles under dependence uncertainty
- Subadditivity of value-at-risk for Bernoulli random variables
- Joint Mixability
- Risk bounds for factor models
- On minimal copulas under the concordance order
- A model-free approach to multivariate option pricing
- Robustness regions for measures of risk aggregation
- Sharp bounds on the expected shortfall for a sum of dependent random variables
- Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Risk aggregation with dependence uncertainty
- Robustness to dependency in portfolio optimization using overlapping marginals
- On multivariate countermonotonic copulas and their actuarial application
- Worst-Case Range Value-at-Risk with Partial Information
- Measuring herd behavior: properties and pitfalls
- Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds
- Model risk in credit risk
- Reducing model risk via positive and negative dependence assumptions
- Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
- Quantile of a mixture with application to model risk assessment
- Algorithms for Finding Copulas Minimizing Convex Functions of Sums
- Detecting complete and joint mixability
- Block rearranging elements within matrix columns to minimize the variability of the row sums
- Extreme negative dependence and risk aggregation
- Current open questions in complete mixability
- On sums of two counter-monotonic risks
- Aggregating Risks with Partial Dependence Information
- ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY
- An algorithm to approximate the optimal expected inner product of two vectors with given marginals
- Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
- Multivariate countermonotonicity and the minimal copulas
- Dual utilities on risk aggregation under dependence uncertainty
- General lower bounds on convex functionals of aggregate sums
- Correlation matrices with average constraints
- Bounds on total economic capital: the DNB case study
- Monotony of Lloyd's method II for log-concave density and convex error weighting function (Corresp.)
- Rearrangement algorithm and maximum entropy
- Decomposing aggregate risk into marginal risks under partial information: A top-down method
- Frameworks and results in distributionally robust optimization
- Sharp Bounds for Sums of Dependent Risks
- Negative dependence concept in copulas and the marginal free herd behavior index
- Risk Bounds and Partial Dependence Information
- Title not available (Why is that?)
- Robust distortion risk measures
- The distributions of the mean of random vectors with fixed marginal distribution
- Robust risk management via multi-marginal optimal transport
- Coskewness under dependence uncertainty
- Value-at-Risk, Tail Value-at-Risk and upper tail transform of the sum of two counter-monotonic random variables
- An optimal transport-based characterization of convex order
- Modality for scenario analysis and maximum likelihood allocation
- Multi-level bottleneck assignment problems: complexity and sparsity-exploiting formulations
- Pairwise counter-monotonicity
- A note on joint mix random vectors
- The impact of correlation on (Range) Value-at-Risk
- Living on the edge: an unified approach to antithetic sampling
This page was built for publication: The complete mixability and convex minimization problems with monotone marginal densities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634547)
