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Divergence-Based Risk Measures: A Discussion on Sensitivities and Extensions
This paper introduces a new family of the convex divergence-based risk measure by specifying [Formula: see text]-divergence, corresponding with the dual representation. First, the sensitivity characteristics of the modified divergence risk measure with respect to profit and loss (P&L) and the re...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2019
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515127/ https://www.ncbi.nlm.nih.gov/pubmed/33267348 http://dx.doi.org/10.3390/e21070634 |