Risk measures on P(R) and value at risk with probability/loss function
Marco Frittelli; Marco Maggis; Ilaria Peri
| Year of publication: |
2014
|
|---|---|
| Authors: | Frittelli, Marco ; Maggis, Marco ; Peri, Ilaria |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 3, p. 442-463
|
| Subject: | Value at Risk | distribution functions | quantiles | law invariant risk measures | quasi-convex functions | dual representation | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |