Liquidity, Risk Measures, and Concentration of Measure (Q5219672): Difference between revisions

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+W2963835707
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+.07033
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+Liquidity risk theory and coherent measures of risk
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+Coherent Measures of Risk
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+Inf-convolution of risk measures and optimal risk transfer
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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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+Q3400706
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+Exponential integrability and transportation cost related to logarithmic Sobolev inequalities
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+RISK MEASURES ON ORLICZ HEARTS
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+Wasserstein-divergence transportation inequalities and polynomial concentration inequalities
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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
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+Stochastic Finance
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+A large deviation approach to some transportation cost inequalities
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+Transport Inequalities. A Survey
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+Set-valued risk measures for conical market models
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+Vector-valued coherent risk measures
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+Law invariant risk measures have the Fatou property
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+On convex risk measures on \(L^{p}\)-spaces
@@ Property / cites work: On convex risk measures on \(L^{p}\)-spaces / rank @@
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+Representation results for law invariant time consistent functions
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+Law invariant risk measures and information divergences
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+A non-exponential extension of Sanov’s theorem via convex duality
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+A simple proof of the blowing-up lemma (Corresp.)
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+Bounding \(\bar d\)-distance by informational divergence: A method to prove measure concentration
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+Optimization of Convex Risk Functions
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+Q5201296
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+Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
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+Transportation cost for Gaussian and other product measures
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+Q4805362
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