The following pages link to Coherent measures of risk (Q2757301):
Displaying 50 items.
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information (Q1626506) (← links)
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution (Q1627671) (← links)
- Reverse sensitivity testing: what does it take to break the model? (Q1634305) (← links)
- Cash subadditive risk measures for portfolio vectors (Q1637026) (← links)
- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer (Q1639555) (← links)
- Computation of market risk measures with stochastic liquidity horizon (Q1639562) (← links)
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (Q1639718) (← links)
- Superquantile/CVaR risk measures: second-order theory (Q1640039) (← links)
- On the dual representation of coherent risk measures (Q1640041) (← links)
- When is tail mean estimation more efficient than tail median? Answers and implications for quantitative risk management (Q1640042) (← links)
- CVaR distance between univariate probability distributions and approximation problems (Q1640043) (← links)
- Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights (Q1640044) (← links)
- A fair division approach to humanitarian logistics inspired by conditional value-at-risk (Q1640048) (← links)
- Market consistent valuations with financial imperfection (Q1640175) (← links)
- Trade and currency options hedging model (Q1643850) (← links)
- Stochastic tail index model for high frequency financial data with Bayesian analysis (Q1644258) (← links)
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes (Q1648896) (← links)
- Financial equilibrium with non-linear valuations (Q1648908) (← links)
- Scenario reduction for stochastic programs with conditional value-at-risk (Q1650782) (← links)
- The stochastic mitra-wan forestry model: risk neutral and risk averse cases (Q1650968) (← links)
- Multiperiod portfolio investment using stochastic programming with conditional value at risk (Q1652255) (← links)
- Risk shaping of optimal electricity portfolios in the stochastic LCOE theory (Q1652696) (← links)
- Equal risk pricing under convex trading constraints (Q1655628) (← links)
- Time consistent multi-period worst-case risk measure in robust portfolio selection (Q1655925) (← links)
- Quantifying market risk with value-at-risk or expected shortfall? -- Consequences for capital requirements and model risk (Q1656799) (← links)
- Index tracking model, downside risk and non-parametric kernel estimation (Q1657610) (← links)
- On coherent risk measures induced by convex risk measures (Q1657812) (← links)
- Estimating extreme tail risk measures with generalized Pareto distribution (Q1659253) (← links)
- Nonlinear expectile regression with application to value-at-risk and expected shortfall estimation (Q1660129) (← links)
- Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures (Q1664753) (← links)
- A convex-risk-measure based model and genetic algorithm for portfolio selection (Q1665701) (← links)
- Which eligible assets are compatible with comonotonic capital requirements? (Q1667405) (← links)
- Set-valued loss-based risk measures (Q1670444) (← links)
- Radiant separation theorems and minimum-type subdifferentials of calm functions (Q1673914) (← links)
- Category-measure duality: convexity, midpoint convexity and Berz sublinearity (Q1675092) (← links)
- On the multiplicity of solutions in generation capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach (Q1680960) (← links)
- On the unimodality of the price-setting newsvendor problem with additive demand under risk considerations (Q1681152) (← links)
- Comparing large-sample maximum Sharpe ratios and incremental variable testing (Q1681279) (← links)
- Distributionally robust equilibrium for continuous games: Nash and Stackelberg models (Q1681287) (← links)
- Risk tomography (Q1681334) (← links)
- A mean-risk mixed integer nonlinear program for transportation network protection (Q1681354) (← links)
- Naive versus optimal diversification: tail risk and performance (Q1681368) (← links)
- Entropic risk measures and their comparative statics in portfolio selection: coherence vs. convexity (Q1681531) (← links)
- Robust and Pareto optimality of insurance contracts (Q1683105) (← links)
- The optimal harvesting problem under price uncertainty: the risk averse case (Q1686507) (← links)
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk (Q1687378) (← links)
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading (Q1688725) (← links)
- Distortion risk measures, ROC curves, and distortion divergence (Q1688727) (← links)
- Optimal expected utility risk measures (Q1688731) (← links)
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall (Q1689024) (← links)
