Set optimization of set-valued risk measures

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

(8)

Painlevé-Kuratowski convergence and extended well-posedness for set optimization problems
Multistage optimization of option portfolio using higher order coherent risk measures
A new topological framework and its application to well-posedness in set-valued optimization
THE REDUCTION OF RISKS FOR SET‐VALUED ESTIMATORS
A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
Multi-utility representations of incomplete preferences induced by set-valued risk measures
Some properties of the risk set in multiple decision problems
The convergence of set-valued scenario approach for downside risk minimization

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