RISK MEASURES: RATIONALITY AND DIVERSIFICATION
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- scientific article; zbMATH DE number 1788883 (Why is no real title available?)
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- scientific article; zbMATH DE number 3087284 (Why is no real title available?)
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
- A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
- Actuarial models: the mathematics of insurance.
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Cash subadditive risk measures and interest rate ambiguity
- EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
- Functional Analysis
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- Inequalities: theory of majorization and its applications
- Integrals which are convex functionals. II
- Law invariant convex risk measures
- Maxmin expected utility with non-unique prior
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- On general minimax theorems
- On the Existence of Minimax Martingale Measures
- Revisiting savage in a conditional world
- Some Extensions of a Theorem of Hardy, Littlewood and Pólya and Their Applications
- Stochastic finance. An introduction in discrete time
Cited in
(63)- Risk measures beyond frictionless markets
- Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
- Law-invariant return and star-shaped risk measures
- Range-based risk measures and their applications
- Cash subadditive risk measures for portfolio vectors
- Risk-consistent conditional systemic risk measures
- A Unified Approach to Generate Risk Measures
- RISK MEASURES FOR NON-INTEGRABLE RANDOM VARIABLES
- Acceptability indexes via \(g\)-expectations: an application to liquidity risk
- RISK MEASURES ON ORLICZ HEARTS
- Risk Measures and Efficient use of Capital
- Determining and Allocating Diversification Benefits for a Portfolio of Risks
- Coherent risk measures under dominated variation
- A note on optimal risk sharing on $L^p$ spaces
- Capital allocation rules and acceptance sets
- A unified approach to systemic risk measures via acceptance sets
- Representation results for law invariant time consistent functions
- Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
- Capital allocation à la Aumann-Shapley for non-differentiable risk measures
- How superadditive can a risk measure be?
- A simplified approach to subjective expected utility
- Worst portfolios for dynamic monetary utility processes
- Quasiconvex risk statistics with scenario analysis
- Beyond cash-additive risk measures: when changing the numéraire fails
- Risk aversion in regulatory capital principles
- Surplus-invariant risk measures
- A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy
- Optimality conditions in optimization problems with convex feasible set using convexificators
- Law-invariant functionals that collapse to the mean: beyond convexity
- SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
- Portfolio optimization with quasiconvex risk measures
- On the game interpretation of a shadow price process in utility maximization problems under transaction costs
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
- General dual measures of riskiness
- Law-Invariant Functionals on General Spaces of Random Variables
- Put Option Premiums and Coherent Risk Measures
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Risk measurement with equivalent utility principles
- Weighted V\@R and its properties
- Entropic value-at-risk: a new coherent risk measure
- An impossibility theorem on capital allocation
- Uncertainty averse preferences
- Combining multi-asset and intrinsic risk measures
- Star-Shaped Risk Measures
- Set-valued dynamic risk measures for bounded discrete-time processes
- On conditional Chisini means and risk measures
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Risk analysis via Łukasiewicz logic
- Synergy effect of cooperative investment
- Disentangling price, risk and model risk: V\&R measures
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Shareholder risk measures
- Diversification preferences in the theory of choice
- Coherent risk measures
- Time-consistency of risk measures: how strong is such a property?
- Portfolio optimization with two quasiconvex risk measures
- On the link between monetary and star-shaped risk measures
- Niveloids and their extensions: risk measures on small domains
- Subdifferential representations of risk measures
- Probabilistic sophistication, second order stochastic dominance and uncertainty aversion
- Law invariant risk measures and information divergences
- Conditionally evenly convex sets and evenly quasi-convex maps
- Cash subadditive risk measures and interest rate ambiguity
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