DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
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Cites work
- scientific article; zbMATH DE number 5075960 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- Choquet order and simplices with applications in probabilistic models
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Convex measures of risk and trading constraints
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- Dynamic coherent risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Foundations of Modern Probability
- Real Analysis and Probability
Cited in
(only showing first 100 items - show all)- On the measurement of economic tail risk
- Reliable quantification and efficient estimation of credit risk
- Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
- Statistical inference for expectile-based risk measures
- Relative bound and asymptotic comparison of expectile with respect to expected shortfall
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- Portfolio selection with transaction costs under expected shortfall constraints
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- Generalized quantiles as risk measures
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- Time consistency for scalar multivariate risk measures
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- How superadditive can a risk measure be?
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Large deviations for risk measures in finite mixture models
- Coherence and elicitability
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
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- scientific article; zbMATH DE number 5710619 (Why is no real title available?)
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Dynamic coherent acceptability indices and their applications to finance
- On a time consistency concept in risk averse multistage stochastic programming
- Capturing parameter risk with convex risk measures
- Distribution-Invariant Risk Measures, Entropy, and Large Deviations
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Distributionally robust shortfall risk optimization model and its approximation
- Surplus-invariant risk measures
- Convex risk functionals: representation and applications
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- Elicitability and identifiability of set-valued measures of systemic risk
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Comparative and qualitative robustness for law-invariant risk measures
- Excess invariance and shortfall risk measures
- Higher order elicitability and Osband's principle
- Utility maximization under a shortfall risk constraint
- Robust utility maximization with limited downside risk in incomplete markets
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- Liquidity-adjusted risk measures
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- Disentangling price, risk and model risk: V\&R measures
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- Portfolio optimization under shortfall risk constraint
- Tail VaR measures in a multi-period setting
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- Time-consistent, risk-averse dynamic pricing
- Simulation methods for robust risk assessment and the distorted mix approach
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- Quantile-based risk sharing
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Markov decision processes with recursive risk measures
- Conditional systemic risk measures
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Cash subadditive risk measures and interest rate ambiguity
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- Elicitable distortion risk measures: a concise proof
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Shortfall Risk Models When Information on Loss Function Is Incomplete
- Distributionally robust reinsurance with expectile
- Multivariate shortfall risk statistics with scenario analysis
- Bayes risk, elicitability, and the Expected Shortfall
- Powerful Backtests for Historical Simulation Expected Shortfall Models
- On the elicitability of range value at risk
- Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
- Risk-reward optimization with discrete-time coherent risk
- Process-based risk measures and risk-averse control of discrete-time systems
- Measurability of functionals and of ideal point forecasts
- Qualitative robustness of utility-based risk measures
- Distributional transforms, probability distortions, and their applications
- Multiple measures realized GARCH models
- Risks in emerging markets equities: time-varying versus spatial risk analysis
- Automatic Fatou property of law-invariant risk measures
- Insurance premium-based shortfall risk measure induced by cumulative prospect theory
- Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
- Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
- Why scoring functions cannot assess tail properties
- Reinforcement learning with dynamic convex risk measures
- Deep quantile and deep composite triplet regression
- Dual representation of expectile-based expected shortfall and its properties
- Sensitivity measures based on scoring functions
- Is the inf-convolution of law-invariant preferences law-invariant?
- Scalar multivariate risk measures with a single eligible asset
- A theory for measures of tail risk
- Backtesting VaR and expectiles with realized scores
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