Multivariate risks and depth-trimmed regions
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 11 (2007)
Issue (Month): 3 (July)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 91B - - - - - -
- 60D - - - - - -
- 62H - - - - - -
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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- 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.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
- Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200.
- Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
- 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.
- 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.
- Areski Cousin & Elena Di Bernardinoy, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
- Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Oct 2013.
- Ignacio Cascos & Ilya Molchanov, 2013. "Multivariate risk measures: a constructive approach based on selections," Papers 1301.1496, arXiv.org, revised May 2014.
- Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
- Zuo, Yijun & Lai, Shaoyong, 2011. "Exact computation of bivariate projection depth and the Stahel-Donoho estimator," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1173-1179, March.
- Dyckerhoff, Rainer & Mosler, Karl, 2011. "Weighted-mean trimming of multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 405-421, March.
- Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
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