Quantitative statistical robustness for tail-dependent law invariant risk measures
Author:
Affiliation:
1. School of Business, University of Southampton, Southampton SO17 1BJ, UK
2. Department of Systems Engineering & Engineering Management, The Chinese University of Hong Kong, Shatin, N. T., Hong Kong
Funder
CUHK
ESRC
GAR
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1892171
Reference37 articles.
1. Coherent Measures of Risk
2. Central Limit Theorems for Law-Invariant Coherent Risk Measures
3. AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
4. A modified functional delta method and its application to the estimation of risk functionals
5. Qualitative Robustness for Stochastic Processes
Cited by 9 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Mathematical programs with distributionally robust chance constraints: Statistical robustness, discretization and reformulation;European Journal of Operational Research;2024-03
2. Range-based risk measures and their applications;ASTIN Bulletin;2023-08-15
3. Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation;European Journal of Operational Research;2023-04
4. Data perturbations in stochastic generalized equations: statistical robustness in static and sample average approximated models;Mathematical Programming;2023-01-27
5. Preference Robust Modified Optimized Certainty Equivalent;SIAM Journal on Optimization;2022-11-09
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3