Robust value-at-risk : an information-theoretic approach
Year of publication: |
2010
|
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Authors: | Simonian, Joseph ; Davis, Joshua M. |
Published in: |
Applied economics letters. - Abingdon : Routledge, ISSN 1350-4851, ZDB-ID 1181036-1. - Vol. 17.2010, 16/18, p. 1551-1553
|
Subject: | Kullback-Leibler Divergence | Risikomaß | Risk measure | Robustes Verfahren | Robust statistics | Messung | Measurement | Theorie | Theory |
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