Xishun Wang

affiliation not provided to SSRN

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A Worst-Case Risk Measure by G-VaR

Number of pages: 25 Posted: 06 Jun 2019 Last Revised: 29 Oct 2020
Ziting Pei, Xishun Wang, Yuhong Xu and Xingye Yue
Soochow University, affiliation not provided to SSRN, Soochow university and affiliation not provided to SSRN
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Abstract:

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worst-case value-at-risk, portfolio management, G-normal distribution