Conditional certainty equivalent
DOI10.1142/S0219024911006255zbMATH Open1213.91170MaRDI QIDQ3086255FDOQ3086255
Authors: Marco Maggis, Marco Frittelli 
Publication date: 30 March 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Recommendations
Musielak-Orlicz spacesdual representationquasiconcavityconditional certainty equivalentstochastic dynamic utility
Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Financial applications of other theories (91G80)
Cites Work
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Cited In (20)
- Time-consistency of risk measures: how strong is such a property?
- A characterization of the vector lattice of measurable functions
- Conditional preference orders and their numerical representations
- Optimal initial capital induced by the optimized certainty equivalent
- Stochastic dynamic utilities and intertemporal preferences
- Risk measures and progressive enlargement of filtration: a BSDE approach
- Portfolio optimization with quasiconvex risk measures
- Implicit Mean Value and Certainty Equivalence
- Strongly consistent multivariate conditional risk measures
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures
- Title not available (Why is that?)
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- A Boolean valued analysis approach to conditional risk
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Dynamic quasi concave performance measures
- On the extension property of dilatation monotone risk measures
- Dynamic assessment indices
- Dynamic utility and related nonlinear SPDEs driven by Lévy noise
- Parameter-dependent stochastic optimal control in finite discrete time
- Fully-dynamic risk-indifference pricing and no-good-deal bounds
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