An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality
A spectrum of upper bounds (Qα(X ; p) αε[0,∞] on the (largest) (1-p)-quantile Q(X;p) of an arbitrary random variable X is introduced and shown to be stable and monotonic in α, p, and X , with Q0(X ;p) = Q(X;p). If p is small enough and the distribution of X is regular enough, then Qα(...
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| Format: | Article |
| Language: | English |
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MDPI AG
2014-09-01
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| Series: | Risks |
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| Online Access: | http://www.mdpi.com/2227-9091/2/3/349 |