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Multivariate risks and depth-trimmed regions

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Author Info
Ignacio Cascos ()
Ilya Molchanov ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-007-0043-7
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 3 (July)
Pages: 373-397
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Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:373-397

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Acceptance set Cone Depth-trimmed region Multivariate risk Risk measure 91B30 91B82 60D05 62H99 C60 C61

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200. [Downloadable!] (restricted)
  2. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February. [Downloadable!] (restricted)
  3. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July. [Downloadable!] (restricted)
  4. Ignacio Cascos, 2007. "Depth functions based on a number of observations of a random vector," Statistics and Econometrics Working Papers ws072907, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  5. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. [Downloadable!] (restricted)
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  6. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248. [Downloadable!] (restricted)
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