On the properties of the Lambda value at risk: robustness, elicitability and consistency-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

On the properties of the Lambda value at risk: robustness, elicitability and consistency

Published:2017-04-03 Issue:11 Volume:17 Page:1735-1743
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Burzoni M.¹,Peri I.²,Ruffo C. M.³

Affiliation:

1. Department of Mathematics, ETH Zürich, Rämistrasse 101, 8092Zürich, Switzerland.

2. Department of Finance, University of Greenwich, 30 Park Row, London, SE10 9LSUK.

3. Department of Statistics and Quantitative Methods, University of Milano Bicocca, Via Bicocca degli Arcimboldi 8, 20126Milan, Italy.

Funder

ETH

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1297535

Reference23 articles.

1. Coherent Measures of Risk

2. On elicitable risk measures

3. Risk management with expectiles

Cited by 18 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. Optimal transport divergences induced by scoring functions;Operations Research Letters;2024-11

2. Optimal risk sharing for lambda value-at-risk;Advances in Applied Probability;2024-07-29

3. Risk Sharing with Lambda Value at Risk;Mathematics of Operations Research;2024-02-21

4. Risk sharing with Lambda value at risk;SSRN Electronic Journal;2023

5. Lambda-Quantiles as Fixed Points;SSRN Electronic Journal;2023

同舟云学术

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