AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (Q5427665)
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scientific article; zbMATH DE number 5213441
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT |
scientific article; zbMATH DE number 5213441 |
Statements
AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (English)
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21 November 2007
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expected utility
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certainty equivalents
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coherent risk measures
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convex risk measures
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risk aversion
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convex duality
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information theory
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\(\varphi\)-divergences
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decision making under uncertainty
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conditional value at risk
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penalty functions
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shortfall risk
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