Conditional and dynamic convex risk measures
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(only showing first 100 items - show all)- Time consistent dynamic risk processes
- To split or not to split: Capital allocation with convex risk measures
- Separation and duality in locally \(L^0\)-convex modules
- An overview of representation theorems for static risk measures
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Strongly consistent multivariate conditional risk measures
- Optimal expected utility risk measures
- Perfect hedging under endogenous permanent market impacts
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: a real-options approach
- An optimal stopping problem with a reward constraint
- Conditional expectiles, time consistency and mixture convexity properties
- Restricted coherent risk measures and actuarial solvency
- Dynamic consistency for stochastic optimal control problems
- Conditional dominance criteria: Definition and application to risk-management
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Asset pricing theory for two price economies
- Set-valued risk measures as backward stochastic difference inclusions and equations
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
- Time consistency for scalar multivariate risk measures
- Gittins' theorem under uncertainty
- Adjusted Rényi entropic value-at-risk
- Conditional submodular coherent risk measures
- Performance measurement with expectiles
- Convexity and sublinearity of \(g\)-expectations
- Time consistent pricing of options with embedded decisions
- Optimal procurement of flexibility services within electricity distribution networks
- On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
- Parameter-dependent stochastic optimal control in finite discrete time
- Markov decision processes with recursive risk measures
- Generalized entropic risk measures and related BSDEs
- Nested conditional value-at-risk portfolio selection: a model with temporal dependence driven by market-index volatility
- The strictest common relaxation of a family of risk measures
- Pricing under dynamic risk measures
- The value of a liability cash flow in discrete time subject to capital requirements
- Law invariant risk measures and information divergences
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Conditional submodular Choquet expected values and conditional coherent risk measures
- Conditional cores and conditional convex hulls of random sets
- Updating pricing rules
- Implied risk aversion: an alternative rating system for retail structured products
- Time-consistency of risk measures: how strong is such a property?
- The restricted convex risk measures in actuarial solvency
- Decision tree analysis for a risk averse decision maker: CVaR criterion
- Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
- Dynamic risk measures for processes via backward stochastic differential equations
- Risk measuring under model uncertainty
- Optimal investment policy in the time consistent mean-variance formulation
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Dynamic coherent risk measures
- Dynamic variational preferences
- Risk measures via g-expectations
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- Dynamic exponential utility indifference valuation
- Weakly time consistent concave valuations and their dual representations
- Conditional coherent risk measures and regime-switching conic pricing
- Conditional preference orders and their numerical representations
- Markov risk mappings and risk-sensitive optimal prediction
- On conditional Chisini means and risk measures
- Risk-consistent conditional systemic risk measures
- Consistent risk measures and a non-linear extension of backwards martingale convergence
- Dynamic assessment indices
- A comparison of techniques for dynamic multivariate risk measures
- On a generalized optional decomposition theorem
- Additive consistency of risk measures and its application to risk-averse routing in networks
- The dynamics of risk beyond convexity
- Dynamic coherent acceptability indices and their applications to finance
- Optimal stopping under model uncertainty: randomized stopping times approach
- Monetary valuation of cash flows under Knightian uncertainty
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Risk-reward optimization with discrete-time coherent risk
- Dynamic conic hedging for competitiveness
- Representation of BSDE-based dynamic risk measures and dynamic capital allocations
- Dynamic Limit Growth Indices in Discrete Time
- Time-inconsistent multistage stochastic programs: martingale bounds
- Building up time-consistency for risk measures and dynamic optimization
- Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Risk measures and their application to staffing nonstationary service systems
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
- MAXIMIZING THE GROWTH RATE UNDER RISK CONSTRAINTS
- Convex risk measures and the dynamics of their penalty functions
- Tight approximations of dynamic risk measures
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
- Update rules for convex risk measures
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- GENERALIZING DUTCH RISK MEASURES THROUGH IMPRECISE PREVISIONS
- Cash subadditive risk measures and interest rate ambiguity
- Market price-based convex risk measures: a distribution-free optimization approach
- Recursive risk measures under regime switching applied to portfolio selection
- scientific article; zbMATH DE number 6983478 (Why is no real title available?)
- Iterated VaR or CTE measures: a false good idea?
- Time-coherent risk measures for continuous-time Markov chains
- Randomized versions of Mazur lemma and Krein-Šmulian theorem
- Tail VaR measures in a multi-period setting
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