Risk Preferences and Their Robust Representation
From MaRDI portal
Publication:5169654
DOI10.1287/moor.1120.0560zbMath1297.91049OpenAlexW3122520781MaRDI QIDQ5169654
Samuel Drapeau, Michael Kupper
Publication date: 11 July 2014
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/16787
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (50)
Conditional preference orders and their numerical representations ⋮ Fatou closedness under model uncertainty ⋮ Complete duality for quasiconvex and convex set-valued functions ⋮ Star-Shaped Risk Measures ⋮ Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ A tail measure with variable risk tolerance: application in dynamic portfolio insurance strategy ⋮ On the properties of the Lambda value at risk: robustness, elicitability and consistency ⋮ Portfolio Optimization with Quasiconvex Risk Measures ⋮ Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Automatic Fatou property of law-invariant risk measures ⋮ On coherent risk measures induced by convex risk measures ⋮ Optimal reinsurance under risk and uncertainty on Orlicz hearts ⋮ Acceptability indexes via \(g\)-expectations: an application to liquidity risk ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ Model spaces for risk measures ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ Portfolio optimization with two quasiconvex risk measures ⋮ Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\) ⋮ Riskiness for sets of gambles ⋮ Minkowski deviation measures ⋮ A framework for measures of risk under uncertainty ⋮ A von Neumann-Morgenstern representation result without weak continuity assumption ⋮ Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces ⋮ Existence and computation of the Aumann-Serrano index of riskiness and its extension ⋮ Beyond cash-additive risk measures: when changing the numéraire fails ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ Optimization of Quasi-convex Function over Product Measure Sets ⋮ Disentangling price, risk and model risk: V\&R measures ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Diversification preferences in the theory of choice ⋮ Are law-invariant risk functions concave on distributions? ⋮ Conditionally evenly convex sets and evenly quasi-convex maps ⋮ Introduction to convex optimization in financial markets ⋮ Multi-utility representations of incomplete preferences induced by set-valued risk measures ⋮ Capital allocation rules and acceptance sets ⋮ Capital allocation à la Aumann-Shapley for non-differentiable risk measures ⋮ Dynamic assessment indices ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Representation of increasing convex functionals with countably additive measures ⋮ Surplus-Invariant Risk Measures ⋮ MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS ⋮ Dual representation of monotone convex functions on 𝐿⁰ ⋮ Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences ⋮ Jensen's inequality connected with a double random good ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation ⋮ RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
This page was built for publication: Risk Preferences and Their Robust Representation