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Sharing the value‐at‐risk under distributional ambiguity - MaRDI portal

Sharing the value‐at‐risk under distributional ambiguity (Q6054142)

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scientific article; zbMATH DE number 7742865
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English
Sharing the value‐at‐risk under distributional ambiguity
scientific article; zbMATH DE number 7742865

    Statements

    title
    Sharing the value‐at‐risk under distributional ambiguity (English)
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    DOI
    10.1111/mafi.12296
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    author
    Zhi Chen
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    Weijun Xie
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    publication date
    27 September 2023
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    zbMATH DE Number
    7742865
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    zbMATH Keywords
    conditional value-at-risk
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    distributionally robust optimization
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    risk sharing
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    value-at-risk
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    OpenAlex ID
    W3033797852
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    cites work
    Q3277804
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    Q5734851
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    Q4451073
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    Q5706744
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