Set-valued loss-based risk measures
From MaRDI portal
Publication:1670444
DOI10.1007/s11117-017-0550-5zbMath1396.91814MaRDI QIDQ1670444
Fei Sun, Hu, Yijun, Yan-Hong Chen
Publication date: 5 September 2018
Published in: Positivity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11117-017-0550-5
Related Items
SET-VALUED CASH SUB-ADDITIVE RISK MEASURES, CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES, Systemic risk statistics with scenario analysis, MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES, Regulator-based risk statistics with scenario analysis, Regulator-based risk statistics for portfolios
Cites Work
- Set-valued average value at risk and its computation
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- Convex measures of risk and trading constraints
- Coherent and convex loss-based risk measures for portfolio vectors
- Vector-valued coherent risk measures
- Set-valued risk measures for conical market models
- Measuring risk with multiple eligible assets
- Coherent Measures of Risk
- MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
- Loss-based risk measures
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- Duality for Set-Valued Measures of Risk
- CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
- SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Stochastic finance. An introduction in discrete time
