Risk Bounds and Partial Dependence Information
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Publication:4609025
DOI10.1007/978-3-319-50986-0_17zbMath1383.62251OpenAlexW2766949109MaRDI QIDQ4609025
Publication date: 29 March 2018
Published in: From Statistics to Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-50986-0_17
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Related Items (8)
VaR bounds in models with partial dependence information on subgroups ⋮ Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ Model-free bounds on value-at-risk using extreme value information and statistical distances ⋮ Analysis of risk bounds in partially specified additive factor models ⋮ A review on ambiguity in stochastic portfolio optimization ⋮ Risk bounds with additional information on functionals of the risk vector ⋮ Improved Hoeffding inequality for dependent bounded or sub-Gaussian random variables ⋮ Simulation methods for robust risk assessment and the distorted mix approach
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