A composition between risk and deviation measures
From MaRDI portal
Publication:2288942
DOI10.1007/s10479-018-2913-0zbMath1450.91011arXiv1511.06943OpenAlexW2741605774MaRDI QIDQ2288942
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.06943
coherent risk measuresconvex risk measuresco-monotone coherent risk measuresgeneralized deviation measureslimitedness
Related Items (9)
Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ On the use of the terminal-value approach in risk-value models ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Extended Gini-Type Measures of Risk and Variability ⋮ Minkowski deviation measures ⋮ On a family of coherent measures of variability ⋮ On a robust risk measurement approach for capital determination errors minimization ⋮ A decomposition of general premium principles into risk and deviation ⋮ Star-shaped deviations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Kusuoka representations of coherent risk measures in general probability spaces
- Monotone and cash-invariant convex functions and hulls
- On convex risk measures on \(L^{p}\)-spaces
- On the worst conditional expectation.
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Convex measures of risk and trading constraints
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- On the dual representation of coherent risk measures
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Kusuoka representation of higher order dual risk measures
- Generalized deviations in risk analysis
- Subdifferential representations of risk measures
- Stochastic orders and risk measures: consistency and bounds
- Coherent Measures of Risk
- Maximum Entropy Principle with General Deviation Measures
- Characterization, Robustness, and Aggregation of Signed Choquet Integrals
- Law invariant risk measures have the Fatou property
- Tail Variance Premium with Applications for Elliptical Portfolio of Risks
- Extended Gini-Type Measures of Risk and Variability
- External Risk Measures and Basel Accords
- Higher moment coherent risk measures
This page was built for publication: A composition between risk and deviation measures
