A worst-case risk measure by G-VaR
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Publication:2025187
DOI10.1007/s10255-021-1002-3zbMath1471.91627OpenAlexW3163739917MaRDI QIDQ2025187
Zi-ting Pei, Yu-hong Xu, Xi-shun Wang, Xing Ye Yue
Publication date: 11 May 2021
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-021-1002-3
Statistical methods; risk measures (91G70) Portfolio theory (91G10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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