SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES (Q5377000): Difference between revisions

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+MaRDI publication profile
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+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
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+Consistent risk measures for portfolio vectors
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+Coherent and convex loss-based risk measures for portfolio vectors
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+Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
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+Set-valued risk statistics with scenario analysis
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+Law invariant risk measures on <i>L</i>                   <sup>∞</sup> (ℝ<sup>                      <i>d</i>                   </sup>)<i />
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+COMONOTONIC MEASURES OF MULTIVARIATE RISKS
@@ Property / cites work: COMONOTONIC MEASURES OF MULTIVARIATE RISKS / rank @@
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+Measuring risk with multiple eligible assets
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+Time consistency of dynamic risk measures in markets with transaction costs
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+Multi-portfolio time consistency for set-valued convex and coherent risk measures
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+A Comparison of Techniques for Dynamic Multivariate Risk Measures
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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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+Q3526970
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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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+Law invariant risk measures have the Fatou property
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+Markets with transaction costs. Mathematical theory.
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+Law-invariant risk measures: extension properties and qualitative robustness
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+Q4552656
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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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+Kusuoka representations of coherent risk measures in general probability spaces
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+The Wasserstein distance and approximation theorems
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+Law invariant convex risk measures for portfolio vectors
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+Worst case portfolio vectors and diversification effects
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+Mathematical Risk Analysis
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+Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
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+Coherent and convex risk measures for portfolios with applications
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024919500043
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+W2911645243
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+Q128585839
@@ Property / Wikidata QID: Q128585839 / rank @@
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