Bounds for nested law invariant coherent risk measures

DOI10.1016/j.orl.2012.09.002zbMath1258.91114OpenAlexW1992042070MaRDI QIDQ1939679

Linwei Xin, Alexander Shapiro

Publication date: 5 March 2013

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2012.09.002

zbMATH Keywords

coherentrisk measurescomonotonicAverage Value-at-Risklaw invariant

Mathematics Subject Classification ID

Related Items (4)

Quantification of risk in classical models of finance ⋮ A quantitative comparison of risk measures ⋮ Martingale characterizations of risk-averse stochastic optimization problems ⋮ Time-consistent approximations of risk-averse multistage stochastic optimization problems

Cites Work

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• Dynamic coherent risk measures
• Coherent Measures of Risk
• Lectures on Stochastic Programming
• Optimization of Convex Risk Functions
• Conditional Risk Mappings

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