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Preference robust distortion risk measure and its application

Wei Wang, Huifu Xu
Year of publication:
2023
Authors: Wang, Wei ; Xu, Huifu
Subject: preference robust distortion risk measure | risk capital allocation | worst-case distortion function | Yaari's dual theory of choice | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Portfolio-Management | Portfolio selection | Präferenztheorie | Theory of preferences
freely available
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