Risk preferences on the space of quantile functions
DOI10.1007/S10107-013-0724-2zbMATH Open1311.91126OpenAlexW2017380677MaRDI QIDQ484133FDOQ484133
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
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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
- One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
- Risk forms: representation, disintegration, and application to partially observable two-stage systems
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