期刊论文详细信息
Risks
An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality
关键词: quantile bounds;    coherent measures of risk;    sensitivity to risk;    measures of economic inequality;    value at risk (VaR);    conditional value at risk (CVaR);    stochastic dominance;    stochastic orders;   
DOI  :  10.3390/risks2030349
来源: mdpi
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【 摘 要 】

A spectrum of upper boundscan also be used as measures of economic inequality. The spectrum parameter α plays the role of an index of sensitivity to risk. The problems of the effective computation of the bounds are considered. Various other related results are obtained.

【 授权许可】

CC BY   
© 2014 by the author; licensee MDPI, Basel, Switzerland.

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