Set-valued loss-based risk measures (Q1670444): 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 @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11117-017-0550-5
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@@ Property / OpenAlex ID @@
+W2782298201
@@ Property / OpenAlex ID: W2782298201 / rank @@
+Normal rank
@@ Property / cites work @@
+SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
@@ Property / cites work: SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES / rank @@
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@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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@@ Property / cites work @@
+Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
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@@ Property / cites work @@
+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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@@ Property / cites work @@
+Coherent and convex loss-based risk measures for portfolio vectors
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@@ Property / cites work @@
+Loss-based risk measures
@@ Property / cites work: Loss-based risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
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+Measuring risk with multiple eligible assets
@@ Property / cites work: Measuring risk with multiple eligible assets / rank @@
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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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+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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+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
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+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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