SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (Q5357511)
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scientific article; zbMATH DE number 6773510
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES |
scientific article; zbMATH DE number 6773510 |
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SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES (English)
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8 September 2017
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optimized certainty equivalent
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shortfall risk
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divergence
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relative entropy
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entropic risk measure
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average value at risk
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set-valued risk measure
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multivariate risk
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incomplete preference
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transaction cost
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solvency cone
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liquidity risk
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infimal convolution
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Lagrange duality
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set optimization
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