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arxiv: 1411.4824 · v1 · pith:5KZESCBQnew · submitted 2014-11-18 · 📊 stat.OT

Quantile of a Mixture

classification 📊 stat.OT
keywords mixturequantilevariablesavailablebernardboundscarefullycases
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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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