Value‐at‐Risk bounds with two‐sided dependence information

DOI10.1111/mafi.12192zbMath1426.91308OpenAlexW2895859610WikidataQ129101404 ScholiaQ129101404MaRDI QIDQ5241569

Ludger Rüschendorf, Thibaut Lux

Publication date: 31 October 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12192

zbMATH Keywords

copulasdualityvalue-at-riskmodel uncertaintyoptimal transportFréchet-Hoeffding bounds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (3)

Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness ⋮ Multi-market portfolio optimization with conditional value at risk ⋮ On the class of truncation invariant bivariate copulas under constraints

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