Computing sensitivities for distortion risk measures
Peter W. Glynn, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
| Year of publication: |
2021
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| Authors: | Glynn, Peter W. ; Peng, Yijie ; Fu, Michael ; Hu, Jian-Qiang |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 33.2021, 4, p. 1520-1532
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| Subject: | asymptotic analysis | distortion risk measure | functional limit theory | sensitivity analysis | Risikomaß | Risk measure | Messung | Measurement | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2020.1016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796944