Certainty equivalent measures of risk

DOI10.1007/S10479-015-1801-0zbMATH Open1406.91207OpenAlexW2021814962MaRDI QIDQ513613FDOQ513613

Authors: Alexander Vinel, Pavlo A. Krokhmal 

Publication date: 7 March 2017

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

Full work available at URL: https://doi.org/10.1007/s10479-015-1801-0

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zbMATH Keywords

stochastic optimizationutility theorycoherent measures of riskconvex measures of risklog-exponential convex measures of riskrisk-averse preferences

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10) Utility theory (91B16)

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Cited In (9)

• The distortion principle for insurance pricing: properties, identification and robustness
• Two-stage international portfolio models with higher moment risk measures
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Similar risks have similar prices: a useful and exact quantification
• Mixed integer programming with a class of nonlinear convex constraints
• Risk‐averse optimization and resilient network flows
• Risk measures in the form of infimal convolution
• A Scenario Decomposition Algorithm for Stochastic Programming Problems with a Class of Downside Risk Measures
• Optimal expected utility risk measures

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