Set-Valued Weighted Value at Risk and Its Computation
In this paper, we propose a new class of set-valued coherent risk measures called the set-valued weighted value at risk. Firstly, the “regulator” version is independent of other market scenarios. The second version, which is called the market extension, is related to different market scenarios. The...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2020-06-01
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| Series: | Frontiers in Physics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/article/10.3389/fphy.2020.00190/full |