Set optimization of set-valued risk measures

DOI10.1007/S10479-020-03541-8zbMATH Open1461.91282OpenAlexW3008134478MaRDI QIDQ828851FDOQ828851

Matteo Rocca, E. Mastrogiacomo

Publication date: 5 May 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03541-8

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zbMATH Keywords

value at riskportfolio optimizationaverage value at riskset-valued risk measuresset-optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Set-valued functions (26E25)

Cites Work

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Cited In (5)

• A New Topological Framework and Its Application to Well-Posedness in Set-Valued Optimization
• 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
• Some properties of the risk set in multiple decision problems

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