Range value at risk under model uncertainty

DOI10.1007/S11579-026-00417-6MaRDI QIDQ7347116zbMATH OpenFDO

Authors Jie Peng, Panyu Wu, Lingqi Meng

Publication date 14 September 2026

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11579-026-00417-6

Mathematics Subject Classification ID

Statistical decision theory (62C99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Game theory, economics, finance, and other social and behavioral sciences (91-XX) Statistical methods; risk measures (91G70)

Cites work

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• Worst-case values of target semi-variances with applications to robust portfolio selection

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