Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Fangda Liu, Tiantian Mao, Ruodu Wang, Linxiao Wei
| Year of publication: |
2022
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|---|---|
| Authors: | Liu, Fangda ; Mao, Tiantian ; Wang, Ruodu ; Wei, Linxiao |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 47.2022, 3, p. 2494-2519
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| Subject: | nonconvex optimization | Pareto optimality | range value at risk | risk sharing | value at risk | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Risikomanagement | Risk management | Pareto-Optimum | Pareto efficiency | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2021.1217 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013375081