Distributional transforms, probability distortions, and their applications
Peng Liu, Alexander Schied, Ruodu Wang
| Year of publication: |
2021
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|---|---|
| Authors: | Liu, Peng ; Schied, Alexander ; Wang, Ruodu |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 46.2021, 4, p. 1490-1512
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| Subject: | change of measures | composition groups | distributional transforms | expected shortfall | option pricing | probability distortions | risk measures | sensitivity analysis | value-at-risk | Risikomaß | Risk measure | Wahrscheinlichkeitsrechnung | Probability theory | Theorie | Theory | Statistische Verteilung | Statistical distribution | Messung | Measurement | Portfolio-Management | Portfolio selection | Sensitivitätsanalyse | Sensitivity analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2020.1090 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012796660