Regulator-Based Risk Statistics for Portfolios

Xiaochuan Deng and Fei Sun

Discrete Dynamics in Nature and Society, 2020, vol. 2020, 1-6

Abstract:

Risk statistic is a critical factor not only for risk analysis but also for financial application. However, the traditional risk statistics may fail to describe the characteristics of regulator-based risk. In this paper, we consider the regulator-based risk statistics for portfolios. By further developing the properties related to regulator-based risk statistics, we are able to derive dual representation for such risk.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:7015267

DOI: 10.1155/2020/7015267

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