V@R representation theorems in ambiguous frameworks

DOI10.1002/ASMB.2425MaRDI QIDQ6574568zbMATH OpenFDO

Authors Alejandro Balbás, Jean-Philippe Charron

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

value at riskambiguityrepresentation theoremheavy tail

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• The effect of supply uncertainty in price-setting newsvendor models
• Utility maximization under model uncertainty in discrete time
• Worst-case conditional value-at-risk with application to robust portfolio management

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