Quantile of a Mixture
classification
📊 stat.OT
keywords
mixturequantilevariablesavailablebernardboundscarefullycases
read the original abstract
In this note, we give an explicit expression for the quantile of a mixture of two random variables. We carefully examine all possible cases of discrete and continuous variables with possibly unbounded support. The result is useful for finding bounds on the Value-at-Risk of risky portfolios when only partial information is available (Bernard and Vanduffel (2014)).
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