Robustness in the Optimization of Risk Measures
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Publication:5031002
DOI10.1287/opre.2021.2147zbMath1485.90079arXiv1809.09268OpenAlexW3213769946MaRDI QIDQ5031002
Alexander Schied, Paul Embrechts, Ruodu Wang
Publication date: 18 February 2022
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.09268
Related Items (4)
A concept of copula robustness and its applications in quantitative risk management ⋮ A framework for measures of risk under uncertainty ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints
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