Conditional divergence risk measures

DOI10.1016/J.JMAA.2025.129598MaRDI QIDQ6983755zbMATH OpenFDO

Authors Giulio Principi, Fabio Maccheroni

Publication date 14 May 2025

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMAA.2025.129598

zbMATH Keywords

conditional certainty equivalentsconditional risk measuresoptimized certainty equivalents

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Statistical methods; risk measures (91G70)

Cites work

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