Browsing Volume 2015 by Title

Now showing items 6-7 of 7

2015-09-16Buch

Risk measures for vector-valued returns

Pichler, Alois

Portfolios, which are exposed to different currencies, have separate and different returns ineach individual currency and are thus vector-valued in a natural way.This paper investigates the natural domain of these risk ...
2015-05-12Buch

Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems

Dentcheva, Darinka; Penev, Spiridon; Ruszczynski, Andrzej

We address the statistical estimation of composite functionals whichmay be nonlinear in the probability measure. Our study is motivated bythe need to estimate coherent measures of risk, which become increasinglypopular in ...