Law invariant convex risk measures for portfolio vectors
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Publication:3417652
DOI10.1524/STND.2006.24.1.97zbMATH Open1186.91126OpenAlexW1969765110MaRDI QIDQ3417652FDOQ3417652
Authors: Ludger Rüschendorf 
Publication date: 30 January 2007
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/1628c5f077aae2f26808aadc8cb89e4a68cfbac6
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Cited In (28)
- Worst portfolios for dynamic monetary utility processes
- Law-Invariant Functionals on General Spaces of Random Variables
- Set-valued law invariant coherent and convex risk measures
- Law invariant risk measures on \(L^\infty(\mathbb R^d)\)
- Dual representations for systemic risk measures based on acceptance sets
- Are law-invariant risk functions concave on distributions?
- Worst case portfolio vectors and diversification effects
- Consistent risk measures for portfolio vectors
- Comonotonic measures of multivariate risks
- Robust risk management via multi-marginal optimal transport
- Pareto efficiency for the concave order and multivariate comonotonicity
- Multivariate risk measures: a constructive approach based on selections
- On optimal allocation of risk vectors
- On a robust risk measurement approach for capital determination errors minimization
- Dynamic portfolio choice when risk is measured by weighted VaR
- Coherent and convex risk measures for portfolios with applications
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Center-outward quantiles and the measurement of multivariate risk
- Scalar and Vector Risk in the General Framework of Portfolio Theory
- On multivariate extensions of conditional-tail-expectation
- On Banach spaces of vector-valued random variables and their duals motivated by risk measures
- On a class of law invariant convex risk measures
- Risk Measures for Portfolio Vectors and Allocation of Risks
- Four theorems and a financial crisis
- Acceptability indexes for portfolio vectors
- Convex capital requirements for large portfolio
- Multivariate extensions of expectiles risk measures
- Coherent and convex loss-based risk measures for portfolio vectors
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