Statistical estimation of composite risk functionals and risk optimization problems
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics and Probability
Link
http://link.springer.com/article/10.1007/s10463-016-0559-8/fulltext.html
Reference40 articles.
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3. Ben-Tal, A., Teboulle, M. (2007). An old-new concept of risk measures: The optimized certainty equivalent. Mathematical Finance, 17(3), 449–476.
4. Beutner, E., Zähle, H. (2010). A modified functional delta method and its application to the estimation of risk functionals. Journal of Multivariate Analysis, 101(10), 2452–2463.
5. Bonnans, J. F., Shapiro, A. (2000). Perturbation analysis of optimization problems. New York: Springer.
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