Extremal cases of distortion risk measures with partial information

By Mengshuo Zhao, Narayanaswamy Balakrishnan, Chuancun Yin

Published 2024-04-23

Everscope rating

1463.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Analytical derivation. Problem types: Risk Management, Optimization.

arXiv:2404.13637 · Paper rankings

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