Recommendations
- Set optimization and applications -- the state of the art. From set relations to set-valued risk measures
- Set-valued loss-based risk measures
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Set-valued shortfall and divergence risk measures
- Duality for set-valued measures of risk
- Set-valued dynamic risk measures for processes and for vectors
- The method of risk measuring based on set-valued Choquet integrals
- Set-valued law invariant coherent and convex risk measures
- Capital allocation for set-valued risk measures
- Set-valued average value at risk and its computation
Cites work
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 1377943 (Why is no real title available?)
- A characterization of cone-convexity for set-valued functions by cone-quasiconvexity
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- Capital allocation for portfolios with non-linear risk aggregation
- Coherent measures of risk
- Cone distribution functions and quantiles for multivariate random variables
- Continuity and differentiability of set-valued maps revisited in the light of tame geometry
- Convexity and global well-posedness in set-optimization
- Duality for set-valued measures of risk
- Existence theorems for set optimization problems
- Existence theorems of set optimization with set-valued maps
- Extended and strongly extended well-posedness of set-valued optimization problems
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- On set-valued optimization.
- On the stability of the functional optimization problem
- Optimal portfolios with Haezendonck risk measures
- Optimization of Convex Risk Functions
- Pointwise well-posedness of perturbed vector optimization problems in a vector-valued variational principle
- Portfolio optimization with quasiconvex risk measures
- Qualitative robustness of set-valued value-at-risk
- Relations between Weak and Uniform Convergence of Measures with Applications
- Representations of affine multifunctions by affine selections
- Set optimization with DC objective function
- Set-valued analysis
- Set-valued average value at risk and its computation
- Set-valued increasing-along-rays maps and well-posed set-valued star-shaped optimization
- Shortfall as a risk measure: properties, optimization and applications
- Stochastic finance. An introduction in discrete time.
- Variational Analysis
- Variational methods in partially ordered spaces
- Vector-valued coherent risk measures
- Well-posedness and \(L\)-well-posedness for quasivariational inequalities
- Well-posedness and scalarization in vector optimization
- Well-posedness for set optimization problems
Cited in
(9)- Painlevé-Kuratowski convergence and extended well-posedness for set optimization problems
- THE REDUCTION OF RISKS FOR SET‐VALUED ESTIMATORS
- Multi-utility representations of incomplete preferences induced by set-valued risk measures
- The convergence of set-valued scenario approach for downside risk minimization
- A new topological framework and its application to well-posedness in set-valued optimization
- Pareto well-posedness for set-valued optimization problems in Geoffroy spaces
- Multistage optimization of option portfolio using higher order coherent risk measures
- Some properties of the risk set in multiple decision problems
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
This page was built for publication: Set optimization of set-valued risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q828851)
