BALAYAGE MONOTONOUS RISK MEASURES

DOI10.1142/S0219024904002724MaRDI QIDQ4662051zbMATH OpenOpenAlexFDO

Authors Johannes Leitner

Publication date 30 March 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024904002724

zbMATH Keywords

balayageCoherent risk measuresdilatation

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

• Coherent measures of risk
• Coherent risk measures
• From stochastic dominance to mean-risk models: Semideviations as risk measures
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• scientific article; zbMATH DE number 3223983 (Why is no real title available?)
• On a Theorem of Hardy, Littlewood, Polya, and Blackwell
• Shortfall as a risk measure: properties, optimization and applications
• Stochastic Dominance and the Maximization of Expected Utility
• The Dual Theory of Choice under Risk
• The Efficiency Analysis of Choices Involving Risk
• The Existence of Probability Measures with Given Marginals

Cited in

(8)

• On the extension property of dilatation monotone risk measures
• Multivariate risk measures in the non-convex setting
• Convex order and comonotonic conditional mean risk sharing
• Dilatation monotone risk measures are law invariant
• Stochastic orders and risk measures: consistency and bounds
• Dilatation monotonous Choquet integrals
• Risk aversion in regulatory capital principles
• Mean‐ portfolio selection and ‐arbitrage for coherent risk measures

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