Value‐at‐Risk bounds with two‐sided dependence information (Q5241569)
From MaRDI portal
scientific article; zbMATH DE number 7125073
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Value‐at‐Risk bounds with two‐sided dependence information |
scientific article; zbMATH DE number 7125073 |
Statements
Value‐at‐Risk bounds with two‐sided dependence information (English)
0 references
31 October 2019
0 references
copulas
0 references
duality
0 references
Fréchet-Hoeffding bounds
0 references
model uncertainty
0 references
optimal transport
0 references
value-at-risk
0 references
