Are law-invariant risk functions concave on distributions? (Q5417590): Difference between revisions

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+https://doi.org/10.2478/demo-2013-0003
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+W2127598114
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@@ Property / cites work @@
+Q5386174
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+Normal rank
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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+Risk Preferences and Their Robust Representation
@@ Property / cites work: Risk Preferences and Their Robust Representation / rank @@
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+THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS <i>L</i><sup>1</sup>
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+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
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+Stochastic finance. An introduction in discrete time.
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+RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
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+Q3526970
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+Law invariant risk measures have the Fatou property
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+A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
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+Q4552656
@@ Property / cites work: Q4552656 / rank @@
+Normal rank
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+Generalized deviations in risk analysis
@@ Property / cites work: Generalized deviations in risk analysis / rank @@
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+Dilatation monotonicity and convex order
@@ Property / cites work: Dilatation monotonicity and convex order / rank @@
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+Publication:5417590