Robust return risk measures
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Publication:1702877
DOI10.1007/S11579-017-0188-XzbMATH Open1404.91134OpenAlexW3121965462MaRDI QIDQ1702877FDOQ1702877
Authors: Fabio Bellini, Roger J. A. Laevent, Emanuela Rosazza Gianin 
Publication date: 1 March 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0188-x
Recommendations
robustnessconvex risk measurespositive homogeneityshortfall riskOrlicz premiumambiguity averse preferencesOrlicz norms and spaces
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Cited In (17)
- Law-invariant return and star-shaped risk measures
- Optimal initial capital induced by the optimized certainty equivalent
- Are reference measures of law-invariant functionals unique?
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- On a robust risk measurement approach for capital determination errors minimization
- Similar risks have similar prices: a useful and exact quantification
- Entropy based risk measures
- Stability properties of Haezendonck-Goovaerts premium principles
- Haezendonck-Goovaerts capital allocation rules
- Robust risk management
- A robust Sharpe ratio
- Can a regulatory risk measure induce profit-maximizing risk capital allocations? The case of conditional tail expectation
- Model spaces for risk measures
- Minkowski deviation measures
- Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
- Worst-case risk with unspecified risk preferences
- Conditional expectiles, time consistency and mixture convexity properties
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