Bayesian Sensitivity Analysis for VaR and CVaR Employing Distorted Band Priors.
José Pablo Arias-NicolásMaría Isabel ParraMario Martínez PizarroEva L. SanjuánPublished in: Axioms (2024)
Keyphrases
- sensitivity analysis
- risk measures
- robust optimization
- managerial insights
- prior distribution
- bayesian approaches
- influence diagrams
- variational inequalities
- decision theory
- bayesian networks
- prior probabilities
- risk averse
- belief nets
- bayesian inference
- portfolio selection
- scoring metrics
- bayesian framework
- prior information
- maximum likelihood
- posterior probability
- decision variables
- image prior
- stochastic programming
- bayesian models
- posterior distribution
- prior knowledge
- portfolio optimization
- decision making
- frequency band
- dirichlet prior
- gaussian processes
- empirically derived
- nonparametric estimation