Directional entropy and tail uncertainty, with applications to financial hazard
From MaRDI portal
Publication:3169219
DOI10.1080/14697681003685548zbMath1215.62111OpenAlexW2037895489MaRDI QIDQ3169219
Publication date: 28 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697681003685548
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (1)
Cites Work
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- Shortfall as a risk measure: properties, optimization and applications
- Martingales and arbitrage in multiperiod securities markets
- Coherent Measures of Risk
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- The generalized value at risk admissible set: constraint consistency and portfolio outcomes
- On Information and Sufficiency
This page was built for publication: Directional entropy and tail uncertainty, with applications to financial hazard
