Subscribe to DSC Newsletter

What type of risk measure are you using to manage risk?

I am writing a paper on the use of the Lorenz curve in risk analysis. I have 3 uses for justifying the Lorenz curve:
1. Stochastic dominance SSD
2. Mean-Gini and mean-extended Gini portfolio optimization
3. Conditional VaR to be use with Basel II
Please discuss the issues with me. I need more uses.
I need more info to link the Lorenz with the AUmann-Serano measure of riskiness. Please help

Views: 52

Reply to This

On Data Science Central

© 2021   TechTarget, Inc.   Powered by

Badges  |  Report an Issue  |  Privacy Policy  |  Terms of Service