Set-valued loss-based risk measures (Q1670444): Difference between revisions

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+https://doi.org/10.1007/s11117-017-0550-5
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+W2782298201
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+SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
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+Coherent Measures of Risk
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+Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
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+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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+Coherent and convex loss-based risk measures for portfolio vectors
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+Loss-based risk measures
@@ Property / cites work: Loss-based risk measures / rank @@
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+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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+Measuring risk with multiple eligible assets
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+Convex measures of risk and trading constraints
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+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
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+Set-valued risk measures for conical market models
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+Set-valued average value at risk and its computation
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+Vector-valued coherent risk measures
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+Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
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+MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
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