Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions (Q6118342)
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scientific article; zbMATH DE number 7808981
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions |
scientific article; zbMATH DE number 7808981 |
Statements
Maximum Spectral Measures of Risk with Given Risk Factor Marginal Distributions (English)
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23 February 2024
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spectral risk measures
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expected shortfall
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dependence uncertainty
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optimal transport
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Monge-Kantorovich duality
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