Coherent risk measures and vector optimization

zbMATH Open1176.91156MaRDI QIDQ3437862FDOQ3437862

Authors: Frank Heyde 

Publication date: 10 May 2007

Recommendations

• Optimization of risk measures
• scientific article
• Coherent and convex risk measures for portfolios with applications
• Vector-valued coherent risk measures
• The class of polyhedral coherent risk measures

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (14)

• A generalized scalarization method in set optimization with respect to variable domination structures
• Higher moment coherent risk measures
• Title not available (Why is that?)
• Lagrange multipliers for \(\varepsilon \)-Pareto solutions in vector optimization with nonsolid cones in Banach spaces
• Lagrange necessary conditions for Pareto minimizers in Asplund spaces and applications
• Coherent risk measures, coherent capital allocations and the gradient allocation principle
• Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
• Nonlinear separation approach to inverse variational inequalities in real linear spaces
• Optimization of risk measures
• Nonlinear scalarization in multiobjective optimization with a polyhedral ordering cone
• Coherent Risk Measures Derived from Utility Functions
• Vector risk functions
• Characterization of Set Relations by Means of a Nonlinear Scalarization Functional

This page was built for publication: Coherent risk measures and vector optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3437862)