Worst-Case Range Value-at-Risk with Partial Information
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Publication:4635247
DOI10.1137/17M1126138zbMath1408.91240OpenAlexW2591206341MaRDI QIDQ4635247
Ruodu Wang, Hui Shao, Lujun Li, Jing-Ping Yang
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1126138
Multivariate distribution of statistics (62H10) Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70)
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