On distortion functionals
From MaRDI portal
Publication:3417650
DOI10.1524/stnd.2006.24.1.45zbMath1186.91125OpenAlexW2285112721MaRDI QIDQ3417650
Publication date: 30 January 2007
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/9a4799c78247cbaf615b471db9cf5ddb7b82728b
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (11)
Superquantile/CVaR risk measures: second-order theory ⋮ Nonlinear stochastic programming-with a case study in continuous switching ⋮ Premiums and reserves, adjusted by distortions ⋮ Generalized PELVE and applications to risk measures ⋮ Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization ⋮ Asymptotic distribution of law-invariant risk functionals ⋮ Stochastic linear programming with a distortion risk constraint ⋮ The risk-averse newsvendor problem under spectral risk measures: a classification with extensions ⋮ SDDP for multistage stochastic linear programs based on spectral risk measures ⋮ Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals ⋮ Asymptotic consistency of risk functionals
This page was built for publication: On distortion functionals