Good Deal Bounds Induced by Shortfall Risk (Q3074983)

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Good Deal Bounds Induced by Shortfall Risk
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    title
    Good Deal Bounds Induced by Shortfall Risk (English)
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    DOI
    10.1137/090769120
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    author
    Takuji Arai
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    publication date
    10 February 2011
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    Mathematics Subject Classification ID
    91G10
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    46N10
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    60H05
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    91B30
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    zbMATH DE Number
    5849813
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    zbMATH Keywords
    good deal bound
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    shortfall
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    convex risk measure
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    Orlicz space
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    predictably convex
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