DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

DOI10.1111/J.1467-9965.2006.00277.XzbMATH Open1145.91037OpenAlexW2118940214MaRDI QIDQ5488981FDOQ5488981

Publication date: 25 September 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00277.x

Recommendations

Law invariant risk measures and information divergences
Information and dynamic coherent risk measures
Distribution-Invariant Risk Measures, Entropy, and Large Deviations
scientific article
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Inf-convolution of risk measures and optimal risk transfer
Dynamic risk measures and \(g\)-expectation
Time consistency of dynamic risk measures
Some new classes of consistent risk measures
scientific article; zbMATH DE number 1795125

dynamic risk measure utility functions capital requirement dynamic consistency shortfall risk measure of risk measure convexity distribution-invariant risk measures

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

Coherent measures of risk
Foundations of Modern Probability
Real Analysis and Probability
Core of convex distortions of a probability.
Convex measures of risk and trading constraints
Coherent and convex monetary risk measures for unbounded càdlàg processes.
Dynamic monetary risk measures for bounded discrete-time processes
Choquet order and simplices with applications in probabilistic models
Title not available (Why is that?)
Coherent and convex monetary risk measures for bounded càdlàg processes
Coherent multiperiod risk adjusted values and Bellman's principle
Dynamic coherent risk measures
Title not available (Why is that?)

Cited In (only showing first 100 items - show all)

Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Title not available (Why is that?)
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
Distribution-Invariant Risk Measures, Entropy, and Large Deviations
On elicitable risk measures
Time-consistent, risk-averse dynamic pricing
Statistical inference for expectile-based risk measures
Generalized quantiles as risk measures
Disentangling price, risk and model risk: V\&R measures
Portfolio selection with transaction costs under expected shortfall constraints
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Time consistency conditions for acceptability measures, with an application to tail value at risk
Risk measures with the CxLS property
Tail VaR measures in a multi-period setting
Comparative and qualitative robustness for law-invariant risk measures
Information and dynamic coherent risk measures
Capturing parameter risk with convex risk measures
CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
Large deviations for risk measures in finite mixture models
Dynamic risk measures
Coherence and elicitability
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
Robust utility maximization with limited downside risk in incomplete markets
Strongly consistent multivariate conditional risk measures
Cash subadditive risk measures and interest rate ambiguity
Risk Measures and Robust Optimization Problems
Time consistent multi-period worst-case risk measure in robust portfolio selection
Backtesting VaR and expectiles with realized scores
Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
Multivariate Shortfall Risk Allocation and Systemic Risk
Representation results for law invariant time consistent functions
On a time consistency concept in risk averse multistage stochastic programming
Portfolio optimization under shortfall risk constraint
Quantile-Based Risk Sharing
A joint quantile and expected shortfall regression framework
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Time consistency for scalar multivariate risk measures
How superadditive can a risk measure be?
Liquidity-adjusted risk measures
Composition of time-consistent dynamic monetary risk measures in discrete time
Elicitability and identifiability of set-valued measures of systemic risk
Higher order elicitability and Osband's principle
On a statistical information measure for a generalized Samuelson-Black-Scholes model
Robust return risk measures
On the measurement of economic tail risk
Dynamic coherent acceptability indices and their applications to finance
A dynamic extension of the Foster-Hart measure of riskiness
Convex risk measures and the dynamics of their penalty functions
Recursive risk measures under regime switching applied to portfolio selection
Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
Reliable quantification and efficient estimation of credit risk
Update rules for convex risk measures
Probabilités neutres au risque et asymétrie d'information
Markov decision processes with recursive risk measures
Are time consistent valuations information monotone?
Elicitable distortion risk measures: a concise proof
Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
Conditional Systemic Risk Measures
Dynamic coherent risk measures
Performance measurement with expectiles
Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Distributionally robust shortfall risk optimization model and its approximation
Convex risk functionals: representation and applications
Simulation methods for robust risk assessment and the distorted mix approach
Conditional expectiles, time consistency and mixture convexity properties
Excess invariance and shortfall risk measures
Utility maximization under a shortfall risk constraint
Optimal expected utility risk measures
Optimal investments for risk- and ambiguity-averse preferences: a duality approach
Robust importance sampling for some typical types of utility-based shortfall risk measures using exponential twisting and kernel density techniques
Insurance premium-based shortfall risk measure induced by cumulative prospect theory
Process-based risk measures and risk-averse control of discrete-time systems
Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
Multivariate shortfall risk statistics with scenario analysis
Dual representation of expectile-based expected shortfall and its properties
Distributionally robust reinsurance with expectile
Risks in emerging markets equities: time-varying versus spatial risk analysis
Scalar Multivariate Risk Measures with a Single Eligible Asset
Distributional Transforms, Probability Distortions, and Their Applications
Multiple measures realized GARCH models
Automatic Fatou property of law-invariant risk measures
A Theory for Measures of Tail Risk
Powerful Backtests for Historical Simulation Expected Shortfall Models
Is the inf-convolution of law-invariant preferences law-invariant?
Reinforcement learning with dynamic convex risk measures
Why scoring functions cannot assess tail properties
Shortfall Risk Models When Information on Loss Function Is Incomplete
Sensitivity measures based on scoring functions
Bayes risk, elicitability, and the Expected Shortfall
Risk-reward optimization with discrete-time coherent risk
Law invariant risk measures and information divergences
On the elicitability of range value at risk
Estimation of tail risk using extreme expectiles in linear GARCH models with heavy-tailed error
Deep quantile and deep composite triplet regression
Multinomial backtesting of distortion risk measures
Measurability of functionals and of ideal point forecasts

This page was built for publication: DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5488981)