A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES

DOI10.1111/J.1467-9965.2005.00255.XzbMATH Open1107.91058OpenAlexW3123180508MaRDI QIDQ5700136FDOQ5700136

Authors: Johannes Leitner 

Publication date: 27 October 2005

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00255.x

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zbMATH Keywords

average value at risk

Mathematics Subject Classification ID

Cites Work

• Application of Coherent Risk Measures to Capital Requirements in Insurance
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• The Efficiency Analysis of Choices Involving Risk
• Title not available (Why is that?)

Cited In (20)

• Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200
• Quasiconvex risk statistics with scenario analysis
• On the price of risk in a mean-risk optimization model
• A new integral for capacities
• Coherent distortion risk measures and higher-order stochastic dominances
• Dual characterization of properties of risk measures on Orlicz hearts
• Some properties of distortion risk measures
• Risk-averse dynamic programming for Markov decision processes
• Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
• Law-invariant functionals that collapse to the mean: beyond convexity
• Similar risks have similar prices: a useful and exact quantification
• Inverse portfolio problem with coherent risk measures
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Dilatation monotonous Choquet integrals
• On a subjective approach to risk measurement
• On risk evaluation and control of distributed multi-agent systems
• Kusuoka representations of coherent risk measures in general probability spaces
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Schur convex functionals: Fatou property and representation
• Kusuoka representation of higher order dual risk measures

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