Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Year of publication: |
2022
|
---|---|
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
|
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 |
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