COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES
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Publication:4917303
DOI10.1111/j.1467-9965.2011.00495.xzbMath1262.91025OpenAlexW1796513437MaRDI QIDQ4917303
Anton Molyboha, Bogdan Grechuk, Michael Zabarankin
Publication date: 29 April 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00495.x
Related Items (9)
The center of a convex set and capital allocation ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ On dynamic deviation measures and continuous-time portfolio optimization ⋮ Synergy effect of cooperative investment ⋮ A note on optimal risk sharing on $L^p$ spaces ⋮ Inverse portfolio problem with mean-deviation model ⋮ Extended gradient of convex function and capital allocation ⋮ Individual and cooperative portfolio optimization as linear program ⋮ Pooling Risk Games
Cites Work
- On comonotonicity of Pareto optimal risk sharing
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Optimal risk sharing with general deviation measures
- Generalized deviations in risk analysis
- Optimality conditions in portfolio analysis with general deviation measures
- Coherent Measures of Risk
- Risk Tuning with Generalized Linear Regression
- Maximum Entropy Principle with General Deviation Measures
- The Dual Theory of Choice under Risk
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
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