Inf-Convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures
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Publication:5868966
DOI10.1287/moor.2021.1217zbMath1498.91505OpenAlexW4210368301MaRDI QIDQ5868966
Fangda Liu, Ruodu Wang, Linxiao Wei, Tiantian Mao
Publication date: 26 September 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.2021.1217
Related Items (3)
Inf-convolution and optimal allocations for mixed-VaRs ⋮ Pairwise counter-monotonicity ⋮ Adjusted Rényi entropic value-at-risk
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Cites Work
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