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  • 标题:On Historical Value at Risk under Distribution Uncertainty
  • 本地全文:下载
  • 作者:Atsushi Iizuka 1 , Yumiharu Nakano
  • 期刊名称:Journal of Mathematical Finance
  • 印刷版ISSN:2162-2434
  • 电子版ISSN:2162-2442
  • 出版年度:2015
  • 卷号:05
  • 期号:02
  • 页码:113-115
  • DOI:10.4236/jmf.2015.52010
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:We investigate the asymptotics of the historical value-at-risk under capacities defined by sublinear expectations. By generalizing Glivenko-Cantelli lemma, we show that the historical value-at-risk eventually lies between the upper and lower value-at-risks quasi surely.
  • 关键词:Value-at-Risk; Sublinear Expectation; Capacities; Glivenko-Cantelli Lemma
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