Joint mixability and notions of negative dependence
A joint mix (JM) is a random vector with a constant component-wise sum. The dependence
structure of a joint mix minimizes some common objectives, such as the variance of the …
structure of a joint mix minimizes some common objectives, such as the variance of the …
Measures for risk, dependence and diversification
L Lin - 2024 - uwspace.uwaterloo.ca
Two primary tasks in quantitative risk management are measuring risk and managing risk.
Risk measures and dependence modeling are important tools for assessing portfolio risk …
Risk measures and dependence modeling are important tools for assessing portfolio risk …
Joint mixability of elliptical distributions and related families
C Yin, D Zhu - arXiv preprint arXiv:1706.05499, 2017 - arxiv.org
In this paper, three different proofs to a result of Wang, Peng and Yang (2013) which related
to the joint mixability of elliptical distributions with the same characteristic generator are …
to the joint mixability of elliptical distributions with the same characteristic generator are …