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Distributionally Robust Inference for Extreme Value-at-Risk
15 February 2019
Robert Yuen
Stilian A. Stoev
D. Cooley
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Papers citing
"Distributionally Robust Inference for Extreme Value-at-Risk"
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Title
Smoothed
f
f
f
-Divergence Distributionally Robust Optimization
Zhen-Yan Liu
Bart P. G. Van Parys
Henry Lam
58
6
0
24 Jun 2023
Estimating and backtesting risk under heavy tails
Marcin Pitera
Thorsten Schmidt
17
5
0
20 Oct 2020
1
