Weighted-mean regions of a probability distribution
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References listed on IDEAS
- Wang, Shaun & Dhaene, Jan, 1998. "Comonotonicity, correlation order and premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 22(3), pages 235-242, July.
- Alexander S. Cherny & Dilip B. Madan, 2006. "CAPM, rewards, and empirical asset pricing with coherent risk," Papers math/0605065, arXiv.org.
- Dyckerhoff, Rainer & Mosler, Karl, 2011. "Weighted-mean trimming of multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 405-421, March.
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- Wiechers, Christof, 2011. "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Econometrics and Statistics 4/11, University of Cologne, Institute of Econometrics and Statistics.
- Bazovkin, Pavel & Mosler, Karl, 2011. "Stochastic linear programming with a distortion risk constraint," Discussion Papers in Econometrics and Statistics 6/11, University of Cologne, Institute of Econometrics and Statistics.
- Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
More about this item
KeywordsCentral regions; Continuous trimming; Lift zonoid regions; Expected convex hull; Variability order;
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