Certainty equivalent measures of risk (Q513613)

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Certainty equivalent measures of risk
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    title
    Certainty equivalent measures of risk (English)
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    author
    Alexander Vinel
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    Pavlo A. Krokhmal
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    publication date
    7 March 2017
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    Mathematics Subject Classification ID
    91B30
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    91B16
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    91B06
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    91G10
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    zbMATH DE Number
    6692549
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    zbMATH Keywords
    coherent measures of risk
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    convex measures of risk
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    stochastic optimization
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    risk-averse preferences
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    utility theory
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    log-exponential convex measures of risk
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