Refinements of Kusuoka representations on L^

DOI10.1080/02331934.2022.2038152MaRDI QIDQ5044104zbMATH OpenOpenAlexFDO

Authors Kerem Uğurlu

Publication date 24 October 2022

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2022.2038152

zbMATH Keywords

average value-at-riskcoherent risk measurescomonotonic risk measureslaw invariancerobust performance measures

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80)

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Cites work

• Aggregation-robustness and model uncertainty of regulatory risk measures
• Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm
• Coherent measures of risk
• Constructing uncertainty sets for robust linear optimization
• Convex measures of risk and trading constraints
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Kusuoka representation of higher order dual risk measures
• Law-invariant functionals that collapse to the mean
• Lectures on stochastic programming. Modeling and theory.
• Minimal representation of insurance prices
• Modeling, measuring and managing risk
• On Kusuoka representation of law invariant risk measures

Cited in

(10)

• Law invariant risk measures on L^( R^d)
• Kusuoka representations of coherent risk measures in general probability spaces
• On Kusuoka representation of law invariant risk measures
• Price and service-level decisions and channel coordination under disruption of social welfare responsibility degree
• A patient-centered equilibrium strategy for selecting anti-epileptic drugs in juvenile myoclonic epilepsy management
• A novel reinforcement learning based routing algorithm for energy management in networks
• On regularization schemes for data-driven optimization based on Cressie–Read divergence and CVaR
• Designing discrete-time control-based strategies for pursuit-evasion games on the plane
• Power utility maximization problem under rough stochastic local volatility models with continuous-time Markov chain approximation
• Optimizing last-mile delivery services: a robust truck-drone cooperation model and hybrid metaheuristic algorithm

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