Risk Measures and Robust Optimization Problems (Q3424149): Difference between revisions

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+A Definition of Subjective Probability
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+Coherent Measures of Risk
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+Coherent and convex monetary risk measures for bounded càdlàg processes
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+Coherent and convex monetary risk measures for unbounded càdlàg processes.
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Generalized Neyman-Pearson lemma via convex duality.
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+A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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+Polyhedral Risk Measures in Stochastic Programming
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+Robustness of the Black and Scholes Formula
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+Optional decompositions under constraints
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+Efficient hedging: cost versus shortfall risk
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+Convex measures of risk and trading constraints
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+Maxmin expected utility with non-unique prior
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+Robust utility maximization for complete and incomplete markets
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+Pareto Equilibria with coherent measures of risk
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+Robust Statistics
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+Minimax tests and the Neyman-Pearson lemma for capacities
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+Coherent risk measures and good-deal bounds
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+Law invariant risk measures have the Fatou property
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+The necessity of strongly subadditive capacities for Neyman-Pearson minimax tests
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+Dynamic coherent risk measures
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+Q5826088
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+On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
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+Optimal Investments for Robust Utility Functionals in Complete Market Models
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+Duality theory for optimal investments under model uncertainty
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+Subjective Probability and Expected Utility without Additivity
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+Dynamic Minimization of Worst Conditional Expectation of Shortfall
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+DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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+The Dual Theory of Choice under Risk
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