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This paper considers a class of functions referred to as convex-concave-convex (CCC) functions to calibrate unimodal or multimodal probability distributions. In discrete case, this class of functions can be expressed by a system of linear constraints and incorporated into an optimization...
Persistent link: https://www.econbiz.de/10010949668
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such measures include standard deviation as a special case but need not be symmetric with respect to ups and downs. Their...
Persistent link: https://www.econbiz.de/10005390721