On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.

DOI10.1214/105051604000000341zbMath1121.91054arXivmath/0407127OpenAlexW3103449843MaRDI QIDQ1879914

Alexander Schied

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0407127

Mathematics Subject Classification ID

Related Items (33)

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR ⋮ A Neyman-Pearson problem with ambiguity and nonlinear pricing ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ Optimization of expected shortfall on convex sets ⋮ On efficient portfolio selection using convex risk measures ⋮ Robust utility maximisation with intractable claims ⋮ Portfolio Optimization within a Wasserstein Ball ⋮ Testing composite hypotheses via convex duality ⋮ Risk Aversion in Regulatory Capital Principles ⋮ Optimal stopping under probability distortion ⋮ Comparative and qualitative robustness for law-invariant risk measures ⋮ Robust optimization of consumption with random endowment ⋮ A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS ⋮ Risk management with expected shortfall ⋮ Optimal investments for risk- and ambiguity-averse preferences: a duality approach ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME” ⋮ ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ Consistent risk measures for portfolio vectors ⋮ On the Method of Optimal Portfolio Choice by Cost-Efficiency ⋮ Risk Measures for Portfolio Vectors and Allocation of Risks ⋮ Stochastic orders and risk measures: consistency and bounds ⋮ OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES ⋮ PORTFOLIO CHOICE VIA QUANTILES ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Optimal payoff under the generalized dual theory of choice ⋮ Risk Measures and Robust Optimization Problems ⋮ Vigilant measures of risk and the demand for contingent claims ⋮ Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints ⋮ Cost-efficient contingent claims with market frictions

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