SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (Q5357511): Difference between revisions

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Latest revision as of 09:50, 14 July 2024

scientific article; zbMATH DE number 6773510
Language Label Description Also known as
English
SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
scientific article; zbMATH DE number 6773510

    Statements

    SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (English)
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    8 September 2017
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    optimized certainty equivalent
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    shortfall risk
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    divergence
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    relative entropy
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    entropic risk measure
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    average value at risk
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    set-valued risk measure
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    multivariate risk
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    incomplete preference
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    transaction cost
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    solvency cone
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    liquidity risk
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    infimal convolution
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    Lagrange duality
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    set optimization
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    Identifiers

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