RISK MEASURES: RATIONALITY AND DIVERSIFICATION
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Publication:3100754
DOI10.1111/J.1467-9965.2010.00450.XzbMATH Open1246.91029OpenAlexW1544247041MaRDI QIDQ3100754FDOQ3100754
Authors: Massimo Marinacci, Luigi Montrucchio, Simone Cerreia-Vioglio, Fabio Maccheroni 
Publication date: 21 November 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://www.carloalberto.org/assets/working-papers/no.100.pdf
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risk measuresquasiconvexitydiversificationmean value premium principlelaw-invariancecash-subadditivity
Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Applications of operator theory in probability theory and statistics (47N30)
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Cited In (58)
- Risk measures beyond frictionless markets
- Range-based risk measures and their applications
- Law-invariant return and star-shaped risk measures
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
- Worst portfolios for dynamic monetary utility processes
- Law-Invariant Functionals on General Spaces of Random Variables
- A note on optimal risk sharing on $L^p$ spaces
- RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
- Quasiconvex risk statistics with scenario analysis
- Risk measurement with equivalent utility principles
- Time-consistency of risk measures: how strong is such a property?
- Risk-consistent conditional systemic risk measures
- Uncertainty averse preferences
- Disentangling price, risk and model risk: V\&R measures
- SHAREHOLDER RISK MEASURES
- Entropic value-at-risk: a new coherent risk measure
- Cash subadditive risk measures for portfolio vectors
- A simplified approach to subjective expected utility
- Risk Measures and Efficient use of Capital
- Subdifferential representations of risk measures
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Cash subadditive risk measures and interest rate ambiguity
- Acceptability indexes via \(g\)-expectations: an application to liquidity risk
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures
- SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
- Star-Shaped Risk Measures
- Portfolio optimization with two quasiconvex risk measures
- Probabilistic sophistication, second order stochastic dominance and uncertainty aversion
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Law-invariant functionals that collapse to the mean: beyond convexity
- Coherent risk measures
- Representation results for law invariant time consistent functions
- Weighted V\@R and its properties
- Niveloids and their extensions: risk measures on small domains
- Surplus-Invariant Risk Measures
- Portfolio Optimization with Quasiconvex Risk Measures
- Combining multi-asset and intrinsic risk measures
- A unified approach to systemic risk measures via acceptance sets
- Optimality conditions in optimization problems with convex feasible set using convexificators
- An impossibility theorem on capital allocation
- A Unified Approach to Generate Risk Measures
- Beyond cash-additive risk measures: when changing the numéraire fails
- Put Option Premiums and Coherent Risk Measures
- SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES
- Capital allocation rules and acceptance sets
- Risk Aversion in Regulatory Capital Principles
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- On the game interpretation of a shadow price process in utility maximization problems under transaction costs
- On conditional Chisini means and risk measures
- Risk analysis via Łukasiewicz logic
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Synergy effect of cooperative investment
- RISK MEASURES ON ORLICZ HEARTS
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Diversification preferences in the theory of choice
- Conditionally evenly convex sets and evenly quasi-convex maps
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