scientific article; zbMATH DE number 5926334

MaRDI QIDQ3014577zbMATH OpenFDO

Authors Fengying Ren, Xingsi Li

Publication date 19 July 2011

zbMATH Keywords

acceptable setcoherent risk measurecone dualityno arbitrage conditionrelative entropy

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46)

Recommendations

• Coherent and convex risk measures for portfolios with applications
• Coherent risk measures and vector optimization
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Multidimensional Coherent and Convex Risk Measures
• On coherent risk measures induced by convex risk measures
• The class of polyhedral coherent risk measures
• Polyhedral coherent risk measures and robust optimization
• Conditional coherent risk measures and regime-switching conic pricing
• Risk-averse optimization of reward-based coherent risk measures
• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio

Cited in

(8)

• Conditional coherent risk measures and regime-switching conic pricing
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Coherent risk measures and vector optimization
• Minimizing coherent risk measures of shortfall in discrete‐time models with cone constraints
• Representation of preferences by generalized coherent risk measures
• Optimization of risk measures
• Risk aversion for defining elliptic acceptance sets in the model of generalized coherent risk measures
• Coherent risk measures and good-deal bounds

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3014577)