SStudyAcademic Library

Dashboard Shelves Open access My library Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Worst-Case Range Value-at-Risk with Partial Information · Study

ArticleShelves

ArticleWorst-Case Range Value-at-Risk with Partial Information

Hui Shao2017

OA

Articlegreen2017

Worst-Case Range Value-at-Risk with Partial Information

Hui Shao · Ruodu Wang · Jingping Yang

58 citations·0/0 files stored·SIAM Journal on Financial Mathematics

No readable copy stored yet — this record is metadata only.

Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

Abstract

No abstract was published for this record.

Citations in this library

Stored only when both papers are in the corpus — 58 citations exist upstream.

References

2001On law invariant coherent risk measures 2009Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management 2006An Introduction to Copulas 2010Robustness and sensitivity analysis of risk measurement procedures 2013Model uncertainty and VaR aggregation 2014An Academic Response to Basel 3.5 2005A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions 2015Aggregation-robustness and model uncertainty of regulatory risk measures

Cited by

2023Robust distortion risk measures

Details

Year2017

Typearticle

Published2017-01-01

VenueSIAM Journal on Financial Mathematics

ISSN-L1945-497X

Languageen

Citations58

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1137/17m1126138

openalex_workW2591206341

Links

Imported from OpenAlex (CC0) — nothing here is generated.