Kusuoka representations of coherent risk measures in general probability spaces

DOI10.1007/S10479-014-1748-6MaRDI QIDQ492837zbMATH OpenOpenAlexFDO

Authors Nilay Noyan, Gábor Rudolf

Publication date 21 August 2015

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-014-1748-6

zbMATH Keywords

comonotonicitycoherent risk measuresspectral risk measureslaw invarianceKusuoka representationacceptability functional

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Recommendations

• Refinements of Kusuoka representations on \(L^\infty\)
• On Kusuoka representation of law invariant risk measures
• Law invariant convex risk measures
• scientific article; zbMATH DE number 1795842
• Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces

Cites work

• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 5589693 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
• An introduction to copulas. Properties and applications
• Coherent measures of risk
• Common mathematical foundations of expected utility and dual utility theories
• Constructing uncertainty sets for robust linear optimization
• Dual characterization of properties of risk measures on Orlicz hearts
• Kusuoka representation of higher order dual risk measures
• Kusuoka representations of coherent risk measures in general probability spaces
• Law invariant convex risk measures
• Law invariant risk measures have the Fatou property
• Lectures on Stochastic Programming
• Matrix Rounding Problems
• Modeling, measuring and managing risk
• On Kusuoka representation of law invariant risk measures
• Optimization of Convex Risk Functions
• Optimization with Multivariate Conditional Value-at-Risk Constraints
• Risk preferences on the space of quantile functions
• Schur convex functionals: Fatou property and representation
• Some remarks on the value-at-risk and the conditional value-at-risk

Cited in

(10)

• Optimization with stochastic preferences based on a general class of scalarization functions
• Set-valued law invariant coherent and convex risk measures
• Refinements of Kusuoka representations on \(L^\infty\)
• Superquantile/CVaR risk measures: second-order theory
• A quantitative comparison of risk measures
• Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics
• Kusuoka representations of coherent risk measures in general probability spaces
• Risk forms: representation, disintegration, and application to partially observable two-stage systems
• Kusuoka representation of higher order dual risk measures
• A composition between risk and deviation measures

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Kusuoka representations of coherent risk measures in general probability spaces

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q492837)