Liquidity, Risk Measures, and Concentration of Measure
From MaRDI portal
Publication:5219672
DOI10.1287/moor.2017.0885zbMath1443.91343arXiv1510.07033OpenAlexW2963835707MaRDI QIDQ5219672
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.07033
Related Items (21)
Transportation inequalities under uniform metric for a stochastic heat equation driven by time-white and space-colored noise ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ Talagrand's transportation inequality for SPDEs with locally monotone drifts ⋮ A class of dimension-free metrics for the convergence of empirical measures ⋮ Minkowski deviation measures ⋮ Central limit type theorem and large deviation principle for multi-scale McKean-Vlasov SDEs ⋮ Well-posedness and stationary solutions of McKean-Vlasov (S)PDEs ⋮ Concentration inequality and the weak law of large numbers for the sum of partly negatively dependent \(\varphi\)-subgaussian random variables ⋮ A characterization of transportation-information inequalities for Markov processes in terms of dimension-free concentration ⋮ Functional inequalities for forward and backward diffusions ⋮ A non-exponential extension of Sanov’s theorem via convex duality ⋮ Transportation cost inequality for backward stochastic differential equations with mean reflection ⋮ Concentration of dynamic risk measures in a Brownian filtration ⋮ Transportation cost inequality for backward stochastic differential equations ⋮ Talagrand concentration inequalities for stochastic heat-type equations under uniform distance ⋮ Law invariant risk measures and information divergences ⋮ Talagrand concentration inequalities for stochastic partial differential equations ⋮ Nonparametric estimation for interacting particle systems: McKean-Vlasov models ⋮ Quadratic transportation inequalities for SDEs with measurable drift ⋮ Star-shaped deviations ⋮ Transportation inequalities for stochastic heat equation with rough dependence in space
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Wasserstein-divergence transportation inequalities and polynomial concentration inequalities
- On convex risk measures on \(L^{p}\)-spaces
- Exponential integrability and transportation cost related to logarithmic Sobolev inequalities
- Convex measures of risk and trading constraints
- Vector-valued coherent risk measures
- Transportation cost for Gaussian and other product measures
- Representation results for law invariant time consistent functions
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Set-valued risk measures for conical market models
- Law invariant risk measures and information divergences
- Inf-convolution of risk measures and optimal risk transfer
- Bounding \(\bar d\)-distance by informational divergence: A method to prove measure concentration
- A large deviation approach to some transportation cost inequalities
- Coherent Measures of Risk
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- Stochastic Finance
- A non-exponential extension of Sanov’s theorem via convex duality
- RISK MEASURES ON ORLICZ HEARTS
- Law invariant risk measures have the Fatou property
- Liquidity risk theory and coherent measures of risk
- A simple proof of the blowing-up lemma (Corresp.)
- THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
- Transport Inequalities. A Survey
- Optimization of Convex Risk Functions
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
This page was built for publication: Liquidity, Risk Measures, and Concentration of Measure
