2 results
Worst-case Omega ratio under distribution uncertainty with its application in robust portfolio selection
-
- Journal:
- Probability in the Engineering and Informational Sciences / Volume 38 / Issue 2 / April 2024
- Published online by Cambridge University Press:
- 01 August 2023, pp. 318-340
-
- Article
-
- You have access
- Open access
- HTML
- Export citation
Distributionally robust reinsurance with expectile
-
- Journal:
- ASTIN Bulletin: The Journal of the IAA / Volume 53 / Issue 1 / January 2023
- Published online by Cambridge University Press:
- 16 February 2023, pp. 129-148
- Print publication:
- January 2023
-
- Article
-
- You have access
- Open access
- HTML
- Export citation