Risk preferences on the space of quantile functions

DOI10.1007/S10107-013-0724-2MaRDI QIDQ484133zbMATH OpenOpenAlexFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 18 December 2014

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10107-013-0724-2

zbMATH Keywords

risk measuresconjugate dualityKusuoka representationquantile functions

Mathematics Subject Classification ID

Utility theory (91B16) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15)

Recommendations

• Risk aversion: a qualitative approach and quantitative estimates
• Law-Invariant Functionals on General Spaces of Random Variables
• On Kusuoka representation of law invariant risk measures
• AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
• Risk aversion in the theory of expected utility with rank dependent probabilities

Cites work

• scientific article; zbMATH DE number 3124312 (Why is no real title available?)
• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
• scientific article; zbMATH DE number 3465097 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 3192366 (Why is no real title available?)
• scientific article; zbMATH DE number 3084780 (Why is no real title available?)
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• Coherent measures of risk
• Common mathematical foundations of expected utility and dual utility theories
• Conditional value-at-risk: optimization approach
• Convex measures of risk and trading constraints
• Extreme Points of Some Convex Subsets of L 1 (0, 1)
• Law invariant convex risk measures
• Law invariant risk measures have the Fatou property
• Lectures on Stochastic Programming
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Modeling, measuring and managing risk
• On Conjugate Convex Functions
• On extreme points of regular convex sets
• Optimization of Convex Risk Functions
• Real Analysis and Probability
• The Dual Theory of Choice under Risk

Cited in

(10)

• Robust spectral risk optimization when information on risk spectrum is incomplete
• AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
• Statistical estimation of composite risk functionals and risk optimization problems
• Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach
• Risk preferences and their robust representation
• Stochastic dominance constraints in elastic shape optimization
• Preference Robust Optimization for Choice Functions on the Space of CDFs
• Kusuoka representations of coherent risk measures in general probability spaces
• Risk forms: representation, disintegration, and application to partially observable two-stage systems
• One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles

This page was built for publication: Risk preferences on the space of quantile functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q484133)