Set-valued average value at risk and its computation (Q356482): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E25
@@ Property / Mathematics Subject Classification ID: 26E25 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B60
@@ Property / Mathematics Subject Classification ID: 91B60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C39
@@ Property / Mathematics Subject Classification ID: 90C39 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6191715
@@ Property / zbMATH DE Number: 6191715 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+average value at risk
@@ Property / zbMATH Keywords: average value at risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+set-valued risk measures
@@ Property / zbMATH Keywords: set-valued risk measures / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+coherent risk measures
@@ Property / zbMATH Keywords: coherent risk measures / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transaction costs
@@ Property / zbMATH Keywords: transaction costs / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Benson's algorithm
@@ Property / zbMATH Keywords: Benson's algorithm / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+BENSOLVE
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+W2139090564
@@ Property / OpenAlex ID: W2139090564 / rank @@
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@@ Property / arXiv ID @@
+.5702
@@ Property / arXiv ID: 1202.5702 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk Measures and Efficient use of Capital
@@ Property / cites work: Risk Measures and Efficient use of Capital / rank @@
+Normal rank
@@ Property / cites work @@
+An outer approximation algorithm for generating all efficient extreme points in the outcome set of a multiple objective linear programming problem
+Normal rank
@@ Property / cites work @@
+Consistent risk measures for portfolio vectors
@@ Property / cites work: Consistent risk measures for portfolio vectors / rank @@
+Normal rank
@@ Property / cites work @@
+COMONOTONIC MEASURES OF MULTIVARIATE RISKS
@@ Property / cites work: COMONOTONIC MEASURES OF MULTIVARIATE RISKS / rank @@
+Normal rank
@@ Property / cites work @@
+Law invariant risk measures on <i>L</i>                   <sup>∞</sup> (ℝ<sup>                      <i>d</i>                   </sup>)<i />
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
+Normal rank
@@ Property / cites work @@
+Duality for Set-Valued Measures of Risk
@@ Property / cites work: Duality for Set-Valued Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Set-valued risk measures for conical market models
+Normal rank
@@ Property / cites work @@
+Benson type algorithms for linear vector optimization and applications
+Normal rank
@@ Property / cites work @@
+Coherent risk measures and good-deal bounds
@@ Property / cites work: Coherent risk measures and good-deal bounds / rank @@
+Normal rank
@@ Property / cites work @@
+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and liquidation under transaction costs in currency markets
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+The decoupling approach to binomial pricing of multi-asset options
+Normal rank
@@ Property / cites work @@
+Vector Optimization with Infimum and Supremum
@@ Property / cites work: Vector Optimization with Infimum and Supremum / rank @@
+Normal rank
@@ Property / cites work @@
+AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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@@ links / mardi / name / links / mardi / name @@
+Publication:356482