# An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality

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## Abstract

## Suggested Citation

**An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality**," MPRA Paper 51361, University Library of Munich, Germany.

*RePEc:pra:mprapa:51361*

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## References listed on IDEAS

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## More about this item

### Keywords

probability inequalities; extremal problems; tail probabilities; quantiles; coherent measures of risk; measures of economic inequality; value-at-risk (VaR); condi- tional value-at-risk (CVaR); expected shortfall (ES); average value-at-risk (AVaR); expected tail loss (ETL); mean-risk (M-R); Gini's mean difference; stochastic dominance; stochastic orders.;### JEL classification:

**C10**- Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General**C54**- Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling**C58**- Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics**C61**- Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis**C65**- Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools**Z1**- Other Special Topics - - Cultural Economics**Z13**- Other Special Topics - - Cultural Economics - - - Economic Sociology; Economic Anthropology; Language; Social and Economic Stratification

### NEP fields

This paper has been announced in the following NEP Reports:- NEP-ALL-2013-11-22 (All new papers)
- NEP-RMG-2013-11-22 (Risk Management)

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