Set-valued loss-based risk measures

DOI10.1007/S11117-017-0550-5MaRDI QIDQ1670444zbMATH OpenOpenAlexFDO

Authors Fei Sun, Yanhong Chen, Yijun Hu

Publication date 5 September 2018

Published in Positivity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11117-017-0550-5

zbMATH Keywords

risk measureset-valuedloss-based

Mathematics Subject Classification ID

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

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Cites work

• A duality theory for set-valued functions. I: Fenchel conjugation theory
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Cash subadditive risk measures and interest rate ambiguity
• Coherent and convex loss-based risk measures for portfolio vectors
• Coherent measures of risk
• Convex measures of risk and trading constraints
• Duality for set-valued measures of risk
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Loss-based risk measures
• Measuring risk with multiple eligible assets
• Multivariate risk measures: a constructive approach based on selections
• Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
• Set-valued average value at risk and its computation
• Set-valued risk measures for conical market models
• Set-valued shortfall and divergence risk measures
• Stochastic finance. An introduction in discrete time
• Vector-valued coherent risk measures

Cited in

(18)

• Continuity and finite-valuedness of set-valued risk measures
• Set-valued law invariant coherent and convex risk measures
• Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
• Constructing Risk Measures from Uncertainty Sets
• Set-valued risk measures for conical market models
• Regulator-based risk statistics for portfolios
• Regulator-based risk statistics with scenario analysis
• SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
• On the generalized risk measures
• Coherent and convex loss-based risk measures for portfolio vectors
• Set-valued Haezendonck-Goovaerts risk measure and its properties
• scientific article; zbMATH DE number 7266413 (Why is no real title available?)
• Capital allocation for set-valued risk measures
• Multivariate dynamic cash sub-additive risk measures for processes
• Loss-based risk measures
• Set optimization of set-valued risk measures
• Systemic risk statistics with scenario analysis
• Set-valued risk statistics with scenario analysis

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