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Bounds for joint portfolios of dependent risks

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References

2013Model uncertainty and VaR aggregation295 cited
2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
1951Methods of Operations Research168 cited
2006Bounds for Functions of Dependent Risks146 cited
2011The complete mixability and convex minimization problems with monotone marginal densities141 cited
1999Stochastic bounds on sums of dependent risks137 cited
2013Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities128 cited
2011Computation of sharp bounds on the distribution of a function of dependent risks123 cited
2006Aggregating risk capital, with an application to operational risk65 cited

Cited by

2013Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates37 cited
2015Reduction of Value-at-Risk bounds via independence and variance information35 cited

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