Stochastic dominance and risk measure: A decision-theoretic foundation for VaR and C-VaR
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- Chenghu Ma & Wing-Keung Wong, 2013. "Stochastic Dominance and Risk Measure: A Decision-Theoretic Foundation for VaR and C-VaR," WISE Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
References listed on IDEAS
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More about this item
KeywordsDecision analysis Risk analysis Risk attributes Utility Stochastic dominance;
- C0 - Mathematical and Quantitative Methods - - General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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