Dynamic coherent risk measures
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Cites work
- scientific article; zbMATH DE number 1795843 (Why is no real title available?)
- Axiomatic characterization of insurance prices
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Dynamic choice and nonexpected utility
- On dynamic measure of risk
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Recursive multiple-priors.
Cited in
(only showing first 100 items - show all)- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Equivalence between time consistency and nested formula
- Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences
- A framework for measures of risk under uncertainty
- Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
- Time consistency of dynamic risk measures in markets with transaction costs
- A comparison of techniques for dynamic multivariate risk measures
- Monotone trends in inventory-price control under time-consistent coherent risk measure
- Quantification of risk in classical models of finance
- Dynamic risk measures and g-expectation
- Risk-averse approximate dynamic programming with quantile-based risk measures
- Algorithmic aspects of mean-variance optimization in Markov decision processes
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Spectral risk measure of holding stocks in the long run
- Fair dynamic valuation of insurance liabilities: a loss averse convex hedging approach
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Coherent risk measures defined on cash flows
- Time-consistency of risk measures: how strong is such a property?
- Risk-Sensitive Reinforcement Learning via Policy Gradient Search
- Optimal stopping with dynamic variational preferences
- Time-consistent, risk-averse dynamic pricing
- Probabilistically distorted risk-sensitive infinite-horizon dynamic programming
- Process-based risk measures and risk-averse control of discrete-time systems
- Dynamic risk measures via backward doubly stochastic Volterra integral equations with jumps
- A conditional version of the second fundamental theorem of asset pricing in discrete time
- Semi-parametric estimation of multivariate extreme expectiles
- Dynamic risk measures under model uncertainty
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Risk aversion in regulatory capital principles
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- The restricted convex risk measures in actuarial solvency
- An overview of representation theorems for static risk measures
- Two-stage portfolio optimization with higher-order conditional measures of risk
- Optimal Control of Conditional Value-at-Risk in Continuous Time
- Coherent measures of risk in everyday market practice†
- Coherent measures of risk
- Risk measures and progressive enlargement of filtration: a BSDE approach
- Risk measures and return performance: a critical approach.
- Dynamic Financial Risk Management
- Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
- Tight approximations of dynamic risk measures
- A dynamic programming approach to adjustable robust optimization
- Rank-dependent predictable forward performance processes
- Tail VaR measures in a multi-period setting
- A stochastic program with time series and affine decision rules for the reservoir management problem
- Robust optimal control using conditional risk mappings in infinite horizon
- Conditional systemic risk measures
- Information and dynamic coherent risk measures
- Set-valued risk measures as backward stochastic difference inclusions and equations
- Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- Equilibrium, uncertainty and risk in hydro-thermal electricity systems
- Stochastic programming approach to optimization under uncertainty
- Asymptotically stable dynamic risk assessments
- Optimal investment policy in the time consistent mean-variance formulation
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- Markets as a counterparty: an introduction to conic finance
- On the worst conditional expectation.
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Multiple-prior valuation of cash flows subject to capital requirements
- Objective rationality and recursive multiple priors
- Continuous time portfolio selection under conditional capital at risk
- Benchmarking in two price financial markets
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Risk-averse dynamic programming for Markov decision processes
- Cash subadditive risk measures and interest rate ambiguity
- The Iterated Cte
- Risk Measures and Robust Optimization Problems
- Dynamic risk measures for processes via backward stochastic differential equations
- The strictest common relaxation of a family of risk measures
- Dynamic risked equilibrium
- Recursiveness of indifference prices and translation-invariant preferences
- Risk measurement and risk-averse control of partially observable discrete-time Markov systems
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Time-consistent approximations of risk-averse multistage stochastic optimization problems
- Building up time-consistency for risk measures and dynamic optimization
- On the use of the terminal-value approach in risk-value models
- SSD consistent criteria and coherent risk measures
- A trade execution model under a composite dynamic coherent risk measure
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
- Set-valued dynamic risk measures for bounded discrete-time processes
- Solving ALM problems via sequential stochastic programming
- Liquidity risk theory and coherent measures of risk
- A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
- Fair dynamic valuation of insurance liabilities: merging actuarial judgement with market- and time-consistency
- Multidimensional dynamic risk measure via conditional \(g\)-expectation
- Dynamic bid-ask pricing under Dempster-Shafer uncertainty
- Restricted coherent risk measures and actuarial solvency
- On a time consistency concept in risk averse multistage stochastic programming
- Conditional and dynamic convex risk measures
- Risk measures via \(g\)-expectations
- Time consistent dynamic risk processes
- Reinforcement learning with dynamic convex risk measures
- Subjective risk measures: Bayesian predictive scenarios analysis
- Time consistency of the mean-risk problem
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