Niveloids and their extensions: risk measures on small domains

DOI10.1016/J.JMAA.2013.11.034MaRDI QIDQ2019237zbMATH OpenOpenAlexFDO

Authors Fabio Maccheroni, Massimo Marinacci, Aldo Rustichini, Simone Cerreia-Vioglio

Publication date 27 March 2015

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2013.11.034

zbMATH Keywords

risk measuresextension theoremsvariational preferencesDaniell-Stone theorem

Mathematics Subject Classification ID

Recommendations

• On the extension property of dilatation monotone risk measures
• Continuity and finite-valuedness of set-valued risk measures
• Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
• Convex measures of risk and trading constraints
• Monotone and cash-invariant convex functions and hulls

Cites work

• scientific article; zbMATH DE number 1807400 (Why is no real title available?)
• scientific article; zbMATH DE number 3816010 (Why is no real title available?)
• scientific article; zbMATH DE number 3901506 (Why is no real title available?)
• scientific article; zbMATH DE number 192938 (Why is no real title available?)
• scientific article; zbMATH DE number 3802268 (Why is no real title available?)
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Cash subadditive risk measures and interest rate ambiguity
• Choquet integration on Riesz spaces and dual comonotonicity
• Coherent measures of risk
• Complete monotone quasiconcave duality
• Convex measures of risk and trading constraints
• Infinite dimensional analysis. A hitchhiker's guide.
• Maxmin expected utility with non-unique prior
• Niveloids
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Risk measures in ordered normed linear spaces with non-empty cone-interior
• Signed integral representations of comonotonic additive functionals
• Stochastic finance. An introduction in discrete time.
• Theory of capacities

Cited in

(18)

• Stochastic semi-orders
• Reference dependent ambiguity
• On nonlinear expectations and Markov chains under model uncertainty
• Markov chains under nonlinear expectation
• A canon of probabilistic rationality
• The structure of variational preferences
• Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data
• Mood-driven choices and self-regulation
• 2-coherent and 2-convex conditional lower previsions
• Costly information acquisition and the temporal resolution of uncertainty
• Kolmogorov-type and general extension results for nonlinear expectations
• Dynamic variational preferences
• Adaptive risk assessments
• Dynamic consistency and ambiguity: a reappraisal
• Generalized optimized certainty equivalent with applications in the rank-dependent utility model
• Ambiguity aversion and wealth effects
• Purely subjective variational preferences
• Risk analysis via Łukasiewicz logic

This page was built for publication: Niveloids and their extensions: risk measures on small domains

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2019237)