Conditional value-at-risk: structure and complexity of equilibria

DOI10.1016/J.TCS.2019.09.015MaRDI QIDQ5919335zbMATH OpenOpenAlexFDO

Authors Marios Mavronicolas, Burkhard Monien

Publication date 22 January 2020

Published in Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.tcs.2019.09.015

zbMATH Keywords

equilibriaNP-hardnessconditional value-at-risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of game theory (91A80) Algorithmic game theory and complexity (91A68)

Recommendations

• Conditional value-at-risk: structure and complexity of equilibria
• $$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse Players
• The complexity of equilibria for risk-modeling valuations
• Conditional value-at-risk for reachability and mean payoff in Markov decision processes
• The complexity of \((\mathsf{E}+\mathsf{Var})\)-equilibria, \(\mathsf{ESR}\)-equilibria, and \(\mathsf{SuperE}\)-equilibria for 2-players games with few cost values

Cites work

• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 3084780 (Why is no real title available?)
• A Social Equilibrium Existence Theorem*
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• Algorithmic aspects of mean-variance optimization in Markov decision processes
• Coherent measures of risk
• Equilibrium points in n -person games
• Equilibrium without independence
• Fixed-point and Minimax Theorems in Locally Convex Topological Linear Spaces
• Generalized deviations in risk analysis
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Minimizing expectation plus variance
• New complexity results about Nash equilibria
• Non-cooperative games
• Seven Kinds of Convexity
• Some remarks on the value-at-risk and the conditional value-at-risk
• Sulle stratificazioni convesse
• The complexity of equilibria for risk-modeling valuations
• The origins of quasi-concavity: a development between mathematics and economics.
• When the players are not expectation maximizers

Cited in

(8)

• The complexity of \((\mathsf{E}+\mathsf{Var})\)-equilibria, \(\mathsf{ESR}\)-equilibria, and \(\mathsf{SuperE}\)-equilibria for 2-players games with few cost values
• Equilibrium impact of value-at-risk regulation
• $$\mathcal {NP}$$-Hardness of Equilibria in Case of Risk-Averse Players
• Conditional value-at-risk for reachability and mean payoff in Markov decision processes
• On the non-existence of conditional value-at-risk under heavy tails and short sales
• A closed-form solution of the Black-Litterman model with conditional value at risk
• (In)existence of equilibria for 2-player, 2-value games with semistrictly quasiconcave cost functions
• Conditional value-at-risk: structure and complexity of equilibria

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