Evaluations of risk measures for different probability measures
From MaRDI portal
Publication:5300537
Recommendations
- Stability, empirical estimates and scenario generation in stochastic optimization - applications in finance.
- Optimization of risk measures
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- On convex risk measures on \(L^{p}\)-spaces
- Stability analysis for stochastic programs
Cited in
(32)- Tree approximation for discrete time stochastic processes: a process distance approach
- Dealing with complex transaction costs in portfolio management
- The natural Banach space for version independent risk measures
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Fundamental properties of process distances
- Distortion risk measure under parametric ambiguity
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Robust estimation of superhedging prices
- A sparse grid approach to balance sheet risk measurement
- Simple risk measure calculations for sums of positive random variables
- An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
- Estimating processes in adapted Wasserstein distance
- All adapted topologies are equal
- Quantifying distributional model risk via optimal transport
- Version-independence and nested distributions in multistage stochastic optimization
- Robust risk management via multi-marginal optimal transport
- Premiums and reserves, adjusted by distortions
- A quantitative comparison of risk measures
- Comparison methods for stochastic models and risks
- Convergence of adapted empirical measures on \(\mathbb{R}^d\)
- Rectangular sets of probability measures
- A distance for multistage stochastic optimization models
- Wasserstein sensitivity of risk and uncertainty propagation
- Mathematical foundations of distributionally robust multistage optimization
- Adapted Wasserstein distances and stability in mathematical finance
- Martingale characterizations of risk-averse stochastic optimization problems
- Adapted topologies and higher rank signatures
- A stochastic programming approach for the optimal management of aggregated distributed energy resources
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- Deviations of convex and coherent entropic risk measures
- Frameworks and results in distributionally robust optimization
- Satisficing Measures for Analysis of Risky Positions
This page was built for publication: Evaluations of risk measures for different probability measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5300537)
