Fahnenbergplatz
Freiburg, D-79085
Germany
University of Freiburg
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Value-at-Risk, Convex order, Comonotonicity, Model risk, Rearrangement algorithm
Wasserstein barycenter, swapping algorithm, optimal transportations, k-means clustering, image processing
Copula, Fréchet class, Model Uncertainty, Operational Risk, Positive Dependence, Rearrangement Algorithm, Risk Aggregation, Value-at-Risk, VaR-bounds.
factor models, risk aggregation, dependence uncertainty, Value-at-Risk
Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall
Optimal portfolio selection, State-dependent preferences, Conditional distribution, Yaari’s dual theory of choice, Incompleteness
Rearrangement algorithm, Moment bounds, Value-at-Risk, Credit risk portfolio. Minimum variance
statistical arbitrage, trading strategy, pairs trading, profitable strategy, good deals
Value-at-Risk; Dependence Uncertainty; Positive Dependence; Model Risk
Moment bounds for dependent risks, distribution functions, rearrangements
Value-at-Risk (VaR), Coherent risk measure, Model uncertainty, Distortion function
Kantorovich l1-Metric, L1-Wasserstein Distance, Optimal Mass Transportation, Optimal Couplings, Gaussian Distributions, Monge-Kantorovich Problem, Kantorovich-Rubinstein Theorem
Decision analysis, fair allocation of indivisible goods, minimum envy.
model uncertainty, copulas, duality theory, value-at-risk
Optimization; Anti-monotonicity; Rearrangement Algorithm; ALCS
Rearrangement algorithm, Block size, Risk bounds, Aggregation risk, Variance of sum, Copula
Expected product, Higher-order moments, Copula, Coskewness, Risk bounds.
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value-at-risk, capital charges
