Entropy coherent and entropy convex measures of risk

DOI10.1287/MOOR.1120.0559MaRDI QIDQ5169665zbMATH OpenOpenAlexFDO

Authors Roger J. A. Laevent, Mitja Stadje

Publication date 11 July 2014

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

Full work available at URL https://pure.uva.nl/ws/files/1908068/123914_394562.pdf

zbMATH Keywords

certainty equivalentconvex risk measuresconvexityexponential utilitymultiple priorsrelative entropyrobustnesstranslation invariancevariational and homothetic preferences

Mathematics Subject Classification ID

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

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Cited in

(40)

• On coherent risk measures induced by convex risk measures
• Model spaces for risk measures
• Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity
• Robust return risk measures
• Risk measures based on behavioural economics theory
• Optimal initial capital induced by the optimized certainty equivalent
• Conditional expectiles, time consistency and mixture convexity properties
• Entropic value-at-risk: a new coherent risk measure
• Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
• Infinite-dimensional divergence information analysis
• Adjusted Rényi entropic value-at-risk
• Entropy based risk measures
• On a family of coherent measures of variability
• Deviations of convex and coherent entropic risk measures
• Coherent and convex fair pricing and variability measures
• Characterization of acceptance sets for co-monotone risk measures
• Dynamic risk measures for processes via backward stochastic differential equations
• A note on weighted premium calculation principles
• Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables
• Robust optimal risk sharing and risk premia in expanding pools
• Systemic risk: conditional distortion risk measures
• Entropic risk measures: coherence vs. convexity, model ambiguity and robust large deviations
• scientific article; zbMATH DE number 754189 (Why is no real title available?)
• Expected utility and catastrophic consumption risk
• scientific article; zbMATH DE number 6311426 (Why is no real title available?)
• Certainty equivalent measures of risk
• Optimal stopping under uncertainty in drift and jump intensity
• Robust portfolio choice and indifference valuation
• Entropic Conditions and Hedging
• Distribution-Invariant Risk Measures, Entropy, and Large Deviations
• scientific article; zbMATH DE number 2243741 (Why is no real title available?)
• Worst case risk measurement: back to the future?
• Law-invariant return and star-shaped risk measures
• Decision principles derived from risk measures
• Properties of the entropic risk measure EVaR in relation to selected distributions
• Monotonic mean-deviation risk measures
• Generalized optimal initial capital and risk measures induced by the generalized certainty equivalent
• Risk-adaptive approaches to stochastic optimization: a survey
• Star-shaped and dynamic return risk measures via BSDEs
• Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models

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