On the equivalence between value-at-risk- and expected shortfall-based risk measures in non-concave optimization

DOI10.1016/J.INSMATHECO.2024.04.002MaRDI QIDQ6573817zbMATH OpenFDO

Authors An Chen, Mitja Stadje, Fangyuan Zhang

Publication date 17 July 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.04.002

zbMATH Keywords

average value-at-riskequivalenceexpected shortfallnon-concave optimizationvalue-at-risk

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

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• Advances in prospect theory: cumulative representation of uncertainty
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• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
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• Risk management with expected shortfall
• Risk management with multiple VaR constraints
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• Utility maximization with a given pricing measure when the utility is not necessarily concave

Cited in

(3)

• A Reverse ES (CVaR) Optimization Formula
• Optimal investment of DC pension plan with incentive scheme and a combined VaR-ES constraint
• Mean-variance optimization for participating life insurance contracts

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