Certainty equivalent measures of risk

DOI10.1007/S10479-015-1801-0MaRDI QIDQ513613zbMATH OpenOpenAlexFDO

Authors Alexander Vinel, Pavlo A. Krokhmal

Publication date 7 March 2017

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-015-1801-0

zbMATH Keywords

stochastic optimizationutility theorycoherent measures of riskconvex measures of risklog-exponential convex measures of riskrisk-averse preferences

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10) Utility theory (91B16)

Recommendations

• Certainty equivalents as risk measures
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Entropy coherent and entropy convex measures of risk
• Optimal expected utility risk measures
• Risk measurement with equivalent utility principles

Cites work

• scientific article; zbMATH DE number 1266748 (Why is no real title available?)
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 194680 (Why is no real title available?)
• scientific article; zbMATH DE number 772850 (Why is no real title available?)
• scientific article; zbMATH DE number 3073200 (Why is no real title available?)
• scientific article; zbMATH DE number 3074973 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• A remark on Malliavin calculus: uniform estimates and localization
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Auctions of Shares
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Efficient algorithms for heavy-tail analysis under interval uncertainty
• Higher moment coherent risk measures
• Introduction to Stochastic Programming
• Law invariant convex risk measures
• Moment based approaches to Value the Risk of contingent claim portfolios
• On consistency of stochastic dominance and mean-semideviation models
• On valid inequalities for mixed integer \(p\)-order cone programming
• Stochastic dominance and prospect dominance with subjective weighting functions
• Subdifferential representations of risk measures
• “Lottery Equivalents”: Reduction of the Certainty Effect Problem in Utility Assessment

Cited in

(10)

• Two-stage international portfolio models with higher moment risk measures
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• The distortion principle for insurance pricing: properties, identification and robustness
• Similar risks have similar prices: a useful and exact quantification
• Certainty equivalents as risk measures
• A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures
• Mixed integer programming with a class of nonlinear convex constraints
• Risk‐averse optimization and resilient network flows
• Risk measures in the form of infimal convolution
• Optimal expected utility risk measures

This page was built for publication: Certainty equivalent measures of risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q513613)