Probability metrics with applications in finance

DOI10.1080/15598608.2008.10411874zbMath1425.91394OpenAlexW2005245815MaRDI QIDQ2324082

Svetlozar T. Rachev, Frank J. Fabozzi, Stoyan V. Stoyanov

Publication date: 13 September 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2008.10411874

zbMATH Keywords

probability metricsrisk measurestochastic dominancedispersion measuredeviation measurebenchmark-tracking

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

Construction of probability metrics on classes of investors

Cites Work

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• Generalized deviations in risk analysis
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Inequalities for E k(X, Y) when the marginals are fixed
• Modern Theory of Summation of Random Variables