Bernhard Klar

Karlsruhe Institute of Technology

SCHOLARLY PAPERS

3

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10

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Scholarly Papers (3)

1.

Generalized Quantiles as Risk Measures

Number of pages: 23 Posted: 02 Mar 2013 Last Revised: 15 Aug 2013
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology, University of Siegen and University of Milano-Bicocca - Dip. di Statistica e Metodi Quantitativi
Downloads 474 (64,860)
Citation 9

Abstract:

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expectile, coherence, elicitability, Kusuoka representation, robustness

2.

On Consistency of the Omega Ratio with Stochastic Dominance Rules

Number of pages: 13 Posted: 23 Jun 2017
Bernhard Klar and Alfred Müller
Karlsruhe Institute of Technology and University of Siegen
Downloads 129 (239,030)
Citation 1

Abstract:

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Omega Ratio, Stochastic Dominance, Expectiles, Integrated Distribution Function

3.

Expectiles, Omega Ratios and Stochastic Ordering

Number of pages: 19 Posted: 08 Jun 2016
Fabio Bellini, Bernhard Klar and Alfred Müller
University of Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, Karlsruhe Institute of Technology and University of Siegen
Downloads 109 (272,190)
Citation 4

Abstract:

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Expectile order, Omega ratio, stop-loss transform, third-order stochastic dominance, skew-normal distribution, Lomax distribution