Quantitative statistical robustness for tail-dependent law invariant risk measures
Wei Wang, Huifu Xu and Tiejun Ma
| Year of publication: |
2021
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|---|---|
| Authors: | Wang, Wei ; Xu, Huifu ; Ma, Tiejun |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 10, p. 1669-1685
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| Subject: | admissible sets | Fortet-Mourier metric | index of quantitative robustness | Quantitative robustness | tail-dependent law invariant risk measures | Messung | Measurement | Robustes Verfahren | Robust statistics | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Statistische Methode | Statistical method | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1892171 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653706