Distributional compatibility for change of measures

DOI10.1007/s00780-019-00393-4zbMath1420.60027arXiv1706.01168OpenAlexW2964262527WikidataQ127805411 ScholiaQ127805411MaRDI QIDQ1999603

Yanyan Li

Publication date: 27 June 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.01168

zbMATH Keywords

optimisationchange of measurecompatibilityheterogeneity order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05) Portfolio theory (91G10)

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Uses Software

• QRM

Cites Work

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