Distributional transforms, probability distortions, and their applications
Year of publication: |
2021
|
---|---|
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
|
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 |
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