Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Xi-shun Wang"'
Publikováno v:
Acta Mathematicae Applicatae Sinica, English Series. 37:421-440
G-VaR, which is a type of worst-case value-at-risk (VaR), is defined as measuring risk incorporating model uncertainty. Compared with most extant notions of worst-case VaR, G-VaR can be computed using an explicit formula, and can be applied to large
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::942ac8ad9f764e832ffbd73c0dd98c3e
https://doi.org/10.1007/s10255-021-1002-3
https://doi.org/10.1007/s10255-021-1002-3
Publikováno v:
SSRN Electronic Journal.
A kind of worst-case value-at-risk, GVaR, is defined to measure risk incorporating model uncertainty. Compared with most extant notions of worst-case VaR, GVaR can be computed by an explicit formula, and can be applied to large portfolios of several
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5e2293df10dfba231c2a05961f60926c
https://doi.org/10.2139/ssrn.3390968
https://doi.org/10.2139/ssrn.3390968
