Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk (Q4971562)
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scientific article; zbMATH DE number 7259313
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk |
scientific article; zbMATH DE number 7259313 |
Statements
Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk (English)
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12 October 2020
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capital adequacy tests
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value at risk
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surplus invariance
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conicity
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numéraire invariance
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