no code implementations • 12 Apr 2024 • Hirbod Assa, Peng Liu
In this paper, we introduce a double-argument mapping as a risk measure to assess the risk relative to a vector of factors, called factor risk measure.
no code implementations • 19 Apr 2022 • Hirbod Assa, Liyuan Lin, Ruodu Wang
It is straightforward to compute the value of PELVE for a given distribution model.
