Set-valued risk statistics with scenario analysis
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Cites work
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- A note on convex risk statistic
- A note on natural risk statistics
- Coherent and convex risk measures for portfolios with applications
- Coherent measures of risk
- Consistent risk measures for portfolio vectors
- Convex measures of risk and trading constraints
- Duality for set-valued measures of risk
- External risk measures and Basel accords
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- Law invariant convex risk measures
- Markets with transaction costs. Mathematical theory.
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Measuring risk with multiple eligible assets
- Multivariate risk measures: a constructive approach based on selections
- Quasiconvex risk statistics with scenario analysis
- 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
- Vector Optimization with Infimum and Supremum
- Vector-valued coherent risk measures
Cited in
(15)- Set-valued loss-based risk measures
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Multivariate coherent risk measures induced by multivariate convex risk measures
- Scenario-based risk evaluation
- Quasiconvex risk statistics with scenario analysis
- A note on natural risk statistics
- The convergence of set-valued scenario approach for downside risk minimization
- THE REDUCTION OF RISKS FOR SET‐VALUED ESTIMATORS
- scientific article; zbMATH DE number 3915487 (Why is no real title available?)
- scientific article; zbMATH DE number 176274 (Why is no real title available?)
- Multivariate quasiconvex risk statistics with scenario analysis
- Set-valued law invariant coherent and convex risk measures
- Systemic risk statistics with scenario analysis
- Regulator-based risk statistics with scenario analysis
- Regulator-based risk statistics for portfolios
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