scientific article; zbMATH DE number 1795843

From MaRDI portal
Revision as of 11:03, 7 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4550910

zbMath1022.91045MaRDI QIDQ4550910

Hans Föllmer, Alexander Schied

Publication date: 21 October 2003


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.



Related Items (49)

On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.Portfolio optimization under entropic risk managementDual characterization of properties of risk measures on Orlicz heartsCash subadditive risk measures for portfolio vectors2-coherent and 2-convex conditional lower previsionsFinancial risk measurement with imprecise probabilitiesNatural risk measuresStochastic linear programming games with concave preferencesUncertainty modelling and conditioning with convex imprecise previsionsErratum: Coherent and convex risk measures for unbounded càdlàg processesRelevant coherent measures of riskA Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk MeasuresConvex risk measures for the aggregation of multiple information sources and applications in insuranceStability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theoremCoherent risk measure, equilibrium and equilibrium pricingWhich eligible assets are compatible with comonotonic capital requirements?Conditional coherent risk measures and regime-switching conic pricingA concept of copula robustness and its applications in quantitative risk managementLinear-quadratic partially observed forward-backward stochastic differential games and its application in financeConvex regularization of local volatility models from option prices: convergence analysis and ratesInf-convolution of \(G\)-expectationsCharacterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models\(\alpha\)-robust portfolio optimization problem under the distribution uncertaintyRepresentation of the penalty term of dynamic concave utilitiesCoherent and convex risk measures for portfolios with applicationsRisk measure pricing and hedging in incomplete marketsOptimal initial capital induced by the optimized certainty equivalentPartial equilibria with convex capital requirements: existence, uniqueness and stabilityTrade-off between robust risk measurement and market principlesCoherent and convex monetary risk measures for bounded càdlàg processesDynamic coherent risk measuresRecent progress in random metric theory and its applications to conditional risk measuresA generalized Neyman-Pearson Lemma for \(g\)-probabilitiesRelevant mappingsSubdifferential representations of risk measuresDistribution-Invariant Risk Measures, Entropy, and Large DeviationsMeasuring exposure to dependence risk with random Bernstein copula scenariosRisk measures via \(g\)-expectationsMartingale characterization of \(G\)-Brownian motionA survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspectiveRepresentation of increasing convex functionals with countably additive measuresSome properties of distortion risk measuresAdditive Consistency of Risk Measures and Its Application to Risk-Averse Routing in NetworksDistributionally robust optimization for sequential decision-makingRisk optimization with \(p\)-order conic constraints: a linear programming approachOptimal bespoke CDO design via NSGA-IIReliable Quantification and Efficient Estimation of Credit RiskEquilibrium routing under uncertaintyConvex risk minimization via proximal splitting methods






This page was built for publication: