Shortfall Risk Models When Information on Loss Function Is Incomplete

DOI10.1287/OPRE.2021.2212MaRDI QIDQ5060520zbMATH OpenOpenAlexFDO

Authors Erick Delage, Shao-Yan Guo, Huifu Xu

Publication date 10 January 2023

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2021.2212

zbMATH Keywords

linear programmingtractabilitypreference elicitationpreference robust optimizationutility-based shortfall risk measure

Mathematics Subject Classification ID

Risk models (general) (91B05) Robustness in mathematical programming (90C17)

Recommendations

• Preference robust models in multivariate utility-based shortfall risk minimization
• Distributionally robust shortfall risk optimization model and its approximation
• Shortfall risk minimization under model uncertainty in the binomial case: adaptive and robust approaches
• Shortfall as a risk measure: properties, optimization and applications
• Utility-based shortfall risk: efficient computations via Monte Carlo

Cites work

• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Ambiguity in risk preferences in robust stochastic optimization
• Coherent measures of risk
• Convex measures of risk and trading constraints
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Distributionally robust shortfall risk optimization model and its approximation
• On elicitable risk measures
• Robustness and sensitivity analysis of risk measurement procedures
• Stochastic finance. An introduction in discrete time.

Cited in

(14)

• Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
• Distributional utility preference robust optimization models in multi-attribute decision making
• Insurance premium-based shortfall risk measure induced by cumulative prospect theory
• Bi-attribute utility preference robust optimization: a continuous piecewise linear approximation approach
• Robust concave utility maximization over chance constraints
• Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making
• Preference Robust Modified Optimized Certainty Equivalent
• Preference robust models in multivariate utility-based shortfall risk minimization
• On expectiles and almost stochastic dominance
• Optimizing distortion riskmetrics with distributional uncertainty
• Preference robust distortion risk measure and its application
• Frameworks and results in distributionally robust optimization
• Distributionally robust shortfall risk optimization model and its approximation
• Worst-case risk with unspecified risk preferences

This page was built for publication: Shortfall Risk Models When Information on Loss Function Is Incomplete

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5060520)