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- W3126075788 abstract "We show that maximizing distortion risk measures over the set of distribution functions with given mean is equivalent to maximizing their concave counterpart. In the case of Value-at-Risk and Tail Value-at-Risk the equivalence also holds when adding information on higher moments." @default.
- W3126075788 created "2021-02-01" @default.
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- W3126075788 date "2018-01-01" @default.
- W3126075788 modified "2023-09-23" @default.
- W3126075788 title "Equivalent Distortion Risk Measures on Moment Spaces" @default.
- W3126075788 doi "https://doi.org/10.2139/ssrn.3175936" @default.
- W3126075788 hasPublicationYear "2018" @default.
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