Preference robust distortion risk measure and its application
Year of publication: |
2023
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Authors: | Wang, Wei ; Xu, Huifu |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 33.2023, 2, p. 389-434
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Subject: | preference robust distortion risk measure | risk capital allocation | worst-case distortion function | Yaari's dual theory of choice | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Präferenztheorie | Theory of preferences |
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