On convex risk measures on L^p-spaces
From MaRDI portal
Publication:1028536
Recommendations
- Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
- Convex risk measures beyond bounded risks
- Value-at-risk and continuous coherent risk measures on \(L^p\)-space
- Lebesgue property for convex risk measures on Orlicz spaces
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
Cites work
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
- Consistent risk measures for portfolio vectors
- Efficient hedging with coherent risk measure
- Expected shortfall and beyond
- Inf-convolution of risk measures and optimal risk transfer
- Law invariant risk measures have the Fatou property
- Monotone and cash-invariant convex functions and hulls
- On the optimal risk allocation problem
- On the worst conditional expectation.
- Pareto Equilibria with coherent measures of risk
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Stochastic finance. An introduction in discrete time
Cited in
(89)- Conditional risk and acceptability mappings as Banach-lattice valued mappings
- Measures of systemic risk
- Liquidity, risk measures, and concentration of measure
- Convex bodies generated by sublinear expectations of random vectors
- The natural Banach space for version independent risk measures
- The canonical model space for law-invariant convex risk measures is \(L^{1}\)
- A note on optimal risk sharing on $L^p$ spaces
- RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
- The relations among the three kinds of conditional risk measures
- Range-based risk measures and their applications
- Systemic risk measures on general measurable spaces
- Replicating portfolio approach to capital calculation
- Worst case portfolio vectors and diversification effects
- Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
- On the penalty function and on continuity properties of risk measures
- On \(s\)-convexity and risk aversion
- Risk aversion in regulatory capital principles
- Risk measures on ordered non-reflexive Banach spaces
- The restricted convex risk measures in actuarial solvency
- Entropic value-at-risk: a new coherent risk measure
- Risk measures with the CxLS property
- Nonlinear expectations of random sets
- Dual representation of expectile-based expected shortfall and its properties
- Optimal stopping under model uncertainty: randomized stopping times approach
- Surplus-invariant risk measures
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Representation and approximation of convex dynamic risk measures with respect to strong–weak topologies
- Kalman-Bucy filtering and minimum mean square estimator under uncertainty
- Dual representations for convex risk measures via conjugate duality
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- Robustness regions for measures of risk aggregation
- Optimization of Convex Risk Functions
- Evaluations of risk measures for different probability measures
- A new coherent multivariate average-value-at-risk
- On the worst conditional expectation.
- Pricing under dynamic risk measures
- Convex risk measures: a selection of properties and its applications
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- Multivariate risk measures in the non-convex setting
- Risk aggregation with dependence uncertainty
- Multivariate risk measures: a constructive approach based on selections
- Optimization of expected shortfall on convex sets
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- A least-squares Monte Carlo approach to the estimation of enterprise risk
- Pareto-optimal reinsurance arrangements under general model settings
- Relevant mappings
- A Boolean valued analysis approach to conditional risk
- Restricted coherent risk measures and actuarial solvency
- Risk measuring under model uncertainty
- Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- On the Lebesgue property of monotone convex functions
- Derivatives risks as costs in a one-period network model
- Regulatory arbitrage of risk measures
- First order asymptotics of the sample average approximation method to solve risk averse stochastic programs
- Capital requirements with defaultable securities
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Insurance-finance arbitrage
- Risk measures, convexity, and max-min shortfalls
- Value-at-risk and continuous coherent risk measures on \(L^p\)-space
- On the extension property of dilatation monotone risk measures
- Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
- Justification of per-unit risk capital allocation in portfolio credit risk models
- On the C-property and \(w^*\)-representations of risk measures
- On efficient portfolio selection using convex risk measures
- Convex risk measures based on divergence
- Convex hedging of non-superreplicable claims in discrete-time market models
- Beyond cash-additive risk measures: when changing the numéraire fails
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- Four theorems and a financial crisis
- Portfolio insurance under a risk-measure constraint
- Risk measuring under liquidity risk
- Competitive equilibria with distortion risk measures
- Convex risk measures beyond bounded risks
- Intragroup transfers, intragroup diversification and their risk assessment
- A pessimistic bilevel stochastic problem for elastic shape optimization
- A continuous selection for optimal portfolios under convex risk measures does not always exist
- Existence of solutions for a class of bilevel stochastic linear programs
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Portfolio optimization with two coherent risk measures
- Maximum Lebesgue extension of monotone convex functions
- Controlled Markov decision processes with AVaR criteria for unbounded costs
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
- RISK MEASURES ON ORLICZ HEARTS
- Risk measures in ordered normed linear spaces with non-empty cone-interior
- Conditional expectiles, time consistency and mixture convexity properties
- Efficient hedging under ambiguity in continuous time
- A composition between risk and deviation measures
- Mathematical foundation of the replicating portfolio approach
This page was built for publication: On convex risk measures on \(L^{p}\)-spaces
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1028536)
