On coherent risk measures induced by convex risk measures (Q1657812): Difference between revisions

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+Entropic value-at-risk: a new coherent risk measure
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+Application of Coherent Risk Measures to Capital Requirements in Insurance
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+Coherent Measures of Risk
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+Optimal portfolios with Haezendonck risk measures
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+Generalized quantiles as risk measures
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+AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
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+Polyhedral Risk Measures in Stochastic Programming
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+Risk capital allocation by coherent risk measures based on one-sided moments.
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+Convex measures of risk and trading constraints
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+ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
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+On the effectiveness of scenario generation techniques in single-period portfolio optimization
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+Higher moment coherent risk measures
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+Risk preference modeling with conditional average: An application to portfolio optimization
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+Entropy Coherent and Entropy Convex Measures of Risk
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+Axiomatic characterization of insurance prices
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