Diversification quotients based on VaR and ES
From MaRDI portal
Publication:6152692
DOI10.1016/j.insmatheco.2023.08.006arXiv2301.03517OpenAlexW4386376541MaRDI QIDQ6152692
Ruodu Wang, Xia Han, Liyuan Lin
Publication date: 13 February 2024
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2301.03517
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Making and Evaluating Point Forecasts
- Diversification limit of quantiles under dependence uncertainty
- Stochastic finance. An introduction in discrete time.
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- On optimal portfolio diversification with respect to extreme risks
- Aggregation-robustness and model uncertainty of regulatory risk measures
- Extremal dependence concepts
- The safest dependence structure among risks.
- Generalized quantiles as risk measures
- Asymptotic analysis of portfolio diversification
- Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk
- On the multidimensional extension of countermonotonicity and its applications
- PELVE: probability equivalent level of VaR and ES
- Coherent Measures of Risk
- COHERENCE AND ELICITABILITY
- Mathematical Risk Analysis
- Joint Mixability
- Probability
- Worst-Case Range Value-at-Risk with Partial Information
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Quantile-Based Risk Sharing
- Distributional Transforms, Probability Distortions, and Their Applications
- Heavy-Tailed Time Series
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Pairwise counter-monotonicity
This page was built for publication: Diversification quotients based on VaR and ES
