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

DOI10.1111/J.1467-9965.2005.00255.XMaRDI QIDQ5700136zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

average value at risk

Mathematics Subject Classification ID

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Cites work

• scientific article; zbMATH DE number 1788883 (Why is no real title available?)
• 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

Cited in

(21)

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

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