Robust distortion risk measures
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Publication:6641073
DOI10.1111/MAFI.12414MaRDI QIDQ6641073
Steven Vanduffel, Carole Bernard, Silvana M. Pesenti
Publication date: 20 November 2024
Published in: Mathematical Finance (Search for Journal in Brave)
model uncertaintyWasserstein distancedistributional robustnessdistortion risk measuresrisk boundsrange value-at-risk
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