Vector-valued coherent risk measures
From MaRDI portal
Recommendations
Cited in
(95)- Essential supremum with respect to a random partial order
- Measures of systemic risk
- Liquidity, risk measures, and concentration of measure
- Estimation of multivariate conditional-tail-expectation using Kendall's process
- Coherent risk measures and vector optimization
- A comparison of techniques for dynamic multivariate risk measures
- Generalized coherent risk measures
- Systemic risk statistics with scenario analysis
- Risk measures with comonotonic subadditivity or convexity on product spaces
- Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation
- Set-valued law invariant coherent and convex risk measures
- Dual representations for systemic risk measures based on acceptance sets
- Set-valued risk statistics with scenario analysis
- Multivariate tail conditional expectation for elliptical distributions
- The expected convex hull trimmed regions of a sample
- Consistent risk measures for portfolio vectors
- Set-valued Haezendonck-Goovaerts risk measure and its properties
- Risk excess measures induced by hemi-metrics
- A cost-effective approach to portfolio construction with range-based risk measures
- Complete duality for quasiconvex and convex set-valued functions
- Estimating covariate functions associated to multivariate risks: a level set approach
- scientific article; zbMATH DE number 6311426 (Why is no real title available?)
- Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
- Multivariate geometric expectiles
- Cash subadditive risk measures for portfolio vectors
- Multivariate reinsurance designs for minimizing an insurer's capital requirement
- Multi-utility representations of incomplete preferences induced by set-valued risk measures
- Set-valued risk measures as backward stochastic difference inclusions and equations
- On a capital allocation by minimization of some risk indicators
- A new coherent multivariate average-value-at-risk
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- Stein's lemma for truncated elliptical random vectors
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- Qualitative robustness of set-valued value-at-risk
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- Editorial
- Multivariate risk measures: a constructive approach based on selections
- Golden options in financial mathematics
- SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
- Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
- Coherent and convex risk measures for portfolios with applications
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- On multivariate extensions of value-at-risk
- Set-valued dynamic risk measures for bounded discrete-time processes
- Multivariate dynamic cash sub-additive risk measures for processes
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Multidimensional dynamic risk measure via conditional \(g\)-expectation
- Bivariate lower and upper orthant value-at-risk
- Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk
- Conditional risk measures in a bipartite market structure
- Existence of solutions for polyhedral convex set optimization problems
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- On multivariate extensions of conditional-tail-expectation
- Time consistency for scalar multivariate risk measures
- Set-valued risk measures for conical market models
- Vector-valued tail value-at-risk and capital allocation
- A directional multivariate value at risk
- Tail risk of multivariate regular variation
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Lagrange duality in set optimization
- On risk evaluation and control of distributed multi-agent systems
- Short communication: on the separability of vector-valued risk measures
- Regulator-based risk statistics for portfolios
- Multivariate risk measures based on conditional expectation and systemic risk for exponential dispersion models
- Set-valued average value at risk and its computation
- Capital allocation for set-valued risk measures
- Set-valued dynamic risk measures for processes and for vectors
- Risk Measures for Portfolio Vectors and Allocation of Risks
- Scalar multivariate risk measures with a single eligible asset
- Acceptability indexes for portfolio vectors
- Risk measuring under liquidity risk
- Robust multicriteria risk-averse stochastic programming models
- A supermartingale relation for multivariate risk measures
- Multivariate coherent risk measures induced by multivariate convex risk measures
- Benson type algorithms for linear vector optimization and applications
- On multivariate extensions of the conditional value-at-risk measure
- A continuous selection for optimal portfolios under convex risk measures does not always exist
- Editorial. Choosing sets: preface to the special issue on set optimization and applications
- Multivariate risks and depth-trimmed regions
- Impact of dependence on some multivariate risk indicators
- Set optimization of set-valued risk measures
- Coherent Risk Measures Derived from Utility Functions
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
- Scalar representation and conjugation of set-valued functions
- Multivariate extensions of expectiles risk measures
- On moments of doubly truncated multivariate normal mean-variance mixture distributions with application to multivariate tail conditional expectation
- Capital allocation with multivariate convex risk measures
- Set Optimization—A Rather Short Introduction
- Set-valued loss-based risk measures
- Set-valued shortfall and divergence risk measures
- Vector risk functions
- Coherent and convex loss-based risk measures for portfolio vectors
- A consistent estimator to the orthant-based tail value-at-risk
- A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
- Vector-valued coherent risk measure processes
This page was built for publication: Vector-valued coherent risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1776019)
