Convex measures of risk and trading constraints
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Publication:1424692
DOI10.1007/s007800200072zbMath1041.91039OpenAlexW2046396733WikidataQ56815541 ScholiaQ56815541MaRDI QIDQ1424692
Alexander Schied, Hans Föllmer
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4274
Utility theory (91B16) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)
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An application to asset-liability management ⋮ Maximum Lebesgue extension of monotone convex functions ⋮ Portfolio selection through an extremality stochastic order ⋮ Properties and calculation of multivariate risk measures: MVaR and MCVaR ⋮ Coherent and convex risk measures for portfolios with applications ⋮ Aggregation of opinions and risk measures ⋮ A decomposition of general premium principles into risk and deviation ⋮ Optimal investments for risk- and ambiguity-averse preferences: a duality approach ⋮ Optimal risk sharing with non-monotone monetary functionals ⋮ Dilatation monotone risk measures are law invariant ⋮ On nonlinear expectations and Markov chains under model uncertainty ⋮ Computing strategies for achieving acceptability: a Monte Carlo approach ⋮ When a combination of convexity and continuity forces monotonicity of preferences ⋮ Scenario-based risk evaluation ⋮ Large deviations bounds for estimating conditional value-at-risk ⋮ Generalized entropic risk measures and related BSDEs ⋮ Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures ⋮ Coherent multiperiod risk adjusted values and Bellman's principle ⋮ Coherent and convex monetary risk measures for bounded càdlàg processes ⋮ Dynamic coherent risk measures ⋮ Characterizing efficiency on infinite-dimensional commodity spaces with ordering cones having possibly empty interior ⋮ Minimum type functions, plus-cogauges, and applications ⋮ Ambiguous chance constrained problems and robust optimization ⋮ Dynkin's formula under the \(G\)-expectation ⋮ Relevant mappings ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ Risk measures in ordered normed linear spaces with non-empty cone-interior ⋮ Subdifferential representations of risk measures ⋮ CV<scp>a</scp> R HEDGING USING QUANTIZATION-BASED STOCHASTIC APPROXIMATION ALGORITHM ⋮ Risk measures via \(g\)-expectations ⋮ Stochastic orders and risk measures: consistency and bounds ⋮ Exhibiting abnormal returns under a risk averse strategy ⋮ On Dynamic Decision Making to Meet Consumption Targets ⋮ Law invariant risk measures and information divergences ⋮ A composition between risk and deviation measures ⋮ Convex risk functionals: representation and applications ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Determination of risk pricing measures from market prices of risk ⋮ Epiconvergence of relaxed stochastic optimization problems ⋮ Robust optimal risk sharing and risk premia in expanding pools ⋮ A branching particle system approximation for a class of FBSDEs ⋮ The PDEs and numerical scheme for derivatives under uncertainty volatility ⋮ Dual representations for systemic risk measures ⋮ Spatial and temporal white noises under sublinear \(G\)-expectation ⋮ Nearly-linear uncertainty measures ⋮ Qualitative robustness of set-valued value-at-risk ⋮ Nonparametric kernel estimation of CVaR under \(\alpha\)-mixing sequences ⋮ Implied risk aversion: an alternative rating system for retail structured products ⋮ An active-set strategy to solve Markov decision processes with good-deal risk measure ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ New directions in stochastic optimisation. Abstracts from the workshop held August 19--25, 2018 ⋮ Dynamic exponential utility indifference valuation ⋮ Measuring risk for income streams ⋮ Convex risk measures for portfolio optimization and concepts of flexibility ⋮ Accept \& reject statement-based uncertainty models ⋮ Quasiconvex risk statistics with scenario analysis ⋮ Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures ⋮ The restricted convex risk measures in actuarial solvency ⋮ Equilibrium routing under uncertainty ⋮ General dual measures of riskiness ⋮ Interaction between financial risk measures and machine learning methods ⋮ Decision-making from a risk assessment perspective for corporate mergers and acquisitions ⋮ Convex risk minimization via proximal splitting methods ⋮ Decision tree analysis for a risk averse decision maker: CVaR criterion ⋮ Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model ⋮ Equilibrium Pricing Under Relative Performance Concerns ⋮ Refinements of Kusuoka representations on L∞ ⋮ Maximally Distributed Random Fields under Sublinear Expectation ⋮ Generalized Nash Equilibrium Problems with Partial Differential Operators: Theory, Algorithms, and Risk Aversion ⋮ Optimal payoffs for directionally closed acceptance sets ⋮ SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ Star-Shaped Risk Measures ⋮ Weighted Scoring Rules and Convex Risk Measures ⋮ Shortfall Risk Models When Information on Loss Function Is Incomplete ⋮ TheS-Related Dynamic Convex Valuation in the Brownian Motion Setting ⋮ INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH ⋮ Changing Correlation and Equity Portfolio Diversification Failure for Linear Factor Models during Market Declines* ⋮ Nonparametric kernel estimation of expected shortfall under negatively associated sequences ⋮ Risk minimization for an insurer with investment and reinsurance via g-expectation ⋮ Multivariate convex risk statistics with scenario analysis ⋮ Multivariate shortfall risk statistics with scenario analysis ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ Optimal reinsurance with model uncertainty and Stackelberg game ⋮ Robust Capacity Planning for Project Management ⋮ The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics ⋮ Markov chains under nonlinear expectation ⋮ Bayes risk, elicitability, and the Expected Shortfall ⋮ Preference robust distortion risk measure and its application ⋮ Risk-Sensitive Reinforcement Learning via Policy Gradient Search ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Choquet Regularization for Continuous-Time Reinforcement Learning ⋮ Balancing the profit and capacity under uncertainties: a target‐based distributionally robust knapsack problem ⋮ A modified exchange algorithm for distributional robust optimization and applications in risk management ⋮ Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ A dynamic analytic method for risk-aware controlled martingale problems ⋮ Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ Risk measures under model uncertainty: a Bayesian viewpoint ⋮ CAPITAL ALLOCATION WITH MULTIVARIATE RISK MEASURES: AN AXIOMATIC APPROACH ⋮ Mini-Batch Risk Forms ⋮ A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification ⋮ Polyhedral coherent risk measure and distributionally robust portfolio optimization ⋮ Distributionally robust reinsurance with expectile ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Characterization of the Minimal Penalty of a Convex Risk Measure with Applications to Robust Utility Maximization for Lévy Models ⋮ Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks ⋮ Reinforcement learning with dynamic convex risk measures ⋮ Adjusted higher-order expected shortfall ⋮ Nonlinearly transformed risk measures: properties and application to optimal reinsurance ⋮ WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS ⋮ Epi-Regularization of Risk Measures ⋮ Utility maximization under risk constraints and incomplete information for a market with a change point ⋮ Spatial Risk Measures: Local Specification and Boundary Risk ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ Portfolio Optimization under Solvency Constraints: A Dynamical Approach ⋮ The application of multi-dimensional Jensen’s inequality for G-martingale ⋮ Regulator-based risk statistics with scenario analysis ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization ⋮ Risk-Sensitive Reinforcement Learning ⋮ Risk Averse Shortest Paths: A Computational Study ⋮ DISTORTION RISKMETRICS ON GENERAL SPACES ⋮ IMPRECISE PREVISIONS FOR RISK MEASUREMENT ⋮ Good deals in markets with friction ⋮ Time consistency of dynamic risk measures in markets with transaction costs ⋮ OPTIMAL NUMERAIRES FOR RISK MEASURES ⋮ Ergodicity of Sublinear Markovian Semigroups ⋮ Distortion Risk Measures and Economic Capital ⋮ Classifying financial markets up to isomorphism ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ Robust portfolio asset allocation and risk measures ⋮ Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule ⋮ Optimal stopping and stochastic control differential games for jump diffusions ⋮ ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE? ⋮ Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes ⋮ Are law-invariant risk functions concave on distributions? ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Ambiguity in portfolio selection ⋮ A remark on law invariant convex risk measures ⋮ A unified approach to systemic risk measures via acceptance sets ⋮ Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk ⋮ Robust portfolio asset allocation and risk measures ⋮ AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT ⋮ Reflected Backward Stochastic Differential Equations, Convex Risk Measures and American Options ⋮ Convex Hedging in Incomplete Markets ⋮ Conditional tail behaviour and Value at Risk ⋮ MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS ⋮ OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Risk-Averse Models in Bilevel Stochastic Linear Programming ⋮ Liquidity, Risk Measures, and Concentration of Measure ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ Parameter Uncertainty in the Kalman--Bucy Filter ⋮ DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY ⋮ FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes ⋮ Risk-Averse Control of Fractional Diffusion with Uncertain Exponent ⋮ Systemic risk statistics with scenario analysis
