Optimization of expected shortfall on convex sets

DOI10.1007/s10986-013-9218-4zbMath1335.91064OpenAlexW1964535828MaRDI QIDQ889467

Christos E. Kountzakis

Publication date: 6 November 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-013-9218-4

zbMATH Keywords

saddle-pointssubgradientcoherent risk measuresexpected shortfallexpectation-bounded risk measures

Mathematics Subject Classification ID

Cites Work

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• Ordered linear spaces
• On the optimal risk allocation problem
• Coherent risk measures and good-deal bounds

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