Bounds for the Distribution Function and Value at Risk of the Joint Portfolio

Authors :: Ludger Rüschendorf
Source :: Springer Series in Operations Research and Financial Engineering ISBN: 9783642335891
Publication Year :: 2012
Publisher :: Springer Berlin Heidelberg, 2012.
Abstract: An important problem in quantitative risk measurement in finance and insurance is to determine (sharp) bounds for the distribution function of the joint portfolio \(\sum _{i=1}^{n}X_{i}\) of a risk vector \(X\,=\,(X_{1},\ldots ,X_{n})\) where the marginal distribution functions \(F_{i}\,\sim \,X_{i}\) are known but the dependence between the components is unspecified.

Subjects :: Physics
Combinatorics
Mathematical optimization
Expected shortfall
Distribution function
No-arbitrage bounds
Superhedging price
Spectral risk measure
Distortion risk measure
Marginal distribution
Portfolio optimization

ISBN :: 978-3-642-33589-1
ISBNs :: 9783642335891
Database :: OpenAIRE
Journal :: Springer Series in Operations Research and Financial Engineering ISBN: 9783642335891
Accession number :: edsair.doi...........caa80dd58b37e0bf4041eb3f60aa7c12
Full Text :: https://doi.org/10.1007/978-3-642-33590-7_4