AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

DOI10.1111/j.1467-9965.2007.00311.xzbMath1186.91116OpenAlexW1976406849MaRDI QIDQ5427665

Publication date: 21 November 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00311.x

zbMATH Keywords

penalty functions information theory expected utility coherent risk measures convex duality risk aversion decision making under uncertainty conditional value at risk convex risk measures certainty equivalents shortfall risk $\varphi$-divergences

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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