Coherent and convex loss-based risk measures for portfolio vectors (Q1746035): Difference between revisions

@@ Property / author @@
-Yan-Hong Chen
@@ Property / author: Yan-Hong Chen / rank @@
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@@ Property / author @@
-Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
-Normal rank
@@ Property / author @@
+Yan-Hong Chen
@@ Property / author: Yan-Hong Chen / rank @@
+Normal rank
@@ Property / author @@
+Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11117-017-0517-6
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@@ Property / OpenAlex ID @@
+W2735064423
@@ Property / OpenAlex ID: W2735064423 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
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@@ Property / cites work @@
+Consistent risk measures for portfolio vectors
@@ Property / cites work: Consistent risk measures for portfolio vectors / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES ON ORLICZ HEARTS
@@ Property / cites work: RISK MEASURES ON ORLICZ HEARTS / rank @@
+Normal rank
@@ Property / cites work @@
+Loss-based risk measures
@@ Property / cites work: Loss-based risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Law invariant risk measures on <i>L</i>                   <sup>∞</sup> (ℝ<sup>                      <i>d</i>                   </sup>)<i />
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@@ Property / cites work @@
+COMONOTONIC MEASURES OF MULTIVARIATE RISKS
@@ Property / cites work: COMONOTONIC MEASURES OF MULTIVARIATE RISKS / rank @@
+Normal rank
@@ Property / cites work @@
+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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@@ Property / cites work @@
+Measuring risk with multiple eligible assets
@@ Property / cites work: Measuring risk with multiple eligible assets / rank @@
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time
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+A duality theory for set-valued functions. I: Fenchel conjugation theory
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+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
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@@ Property / cites work @@
+Set-valued average value at risk and its computation
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@@ Property / cites work @@
+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
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@@ Property / cites work @@
+MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
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@@ Property / cites work @@
+Mathematical Risk Analysis
@@ Property / cites work: Mathematical Risk Analysis / rank @@
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@@ Property / cites work @@
+Coherent and convex risk measures for portfolios with applications
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@@ links / mardi / name / links / mardi / name @@
+Publication:1746035