On convex risk measures on \(L^{p}\)-spaces
From MaRDI portal
Publication:1028536
DOI10.1007/s00186-008-0248-3zbMath1168.91019OpenAlexW1975884238MaRDI QIDQ1028536
Publication date: 6 July 2009
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-008-0248-3
Related Items
A new coherent multivariate average-value-at-risk, Convex bodies generated by sublinear expectations of random vectors, Optimal stopping under model uncertainty: randomized stopping times approach, COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION, A least-squares Monte Carlo approach to the estimation of enterprise risk, Systemic risk measures on general measurable spaces, COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES, Intragroup transfers, intragroup diversification and their risk assessment, Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\), JUSTIFICATION OF PER-UNIT RISK CAPITAL ALLOCATION IN PORTFOLIO CREDIT RISK MODELS, Mathematical foundation of the replicating portfolio approach, Pareto-optimal reinsurance arrangements under general model settings, Restricted coherent risk measures and actuarial solvency, Optimization of expected shortfall on convex sets, Conditional risk and acceptability mappings as Banach-lattice valued mappings, Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\), Convex risk measures on Orlicz spaces: inf-convolution and shortfall, On efficient portfolio selection using convex risk measures, An analytical study of norms and Banach spaces induced by the entropic value-at-risk, Entropic value-at-risk: a new coherent risk measure, Derivatives risks as costs in a one-period network model, Replicating portfolio approach to capital calculation, Risk Aversion in Regulatory Capital Principles, A pessimistic bilevel stochastic problem for elastic shape optimization, Measures of Systemic Risk, Risk measuring under liquidity risk, Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces, Maximum Lebesgue extension of monotone convex functions, Portfolio insurance under a risk-measure constraint, Beyond cash-additive risk measures: when changing the numéraire fails, Efficient hedging under ambiguity in continuous time, On the Lebesgue property of monotone convex functions, Convex hedging of non-superreplicable claims in discrete-time market models, Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds, THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1, Dual representation of expectile-based expected shortfall and its properties, Controlled Markov decision processes with AVaR criteria for unbounded costs, Worst case portfolio vectors and diversification effects, Risk aggregation with dependence uncertainty, Risk measures on ordered non-reflexive Banach spaces, Portfolio optimization with two coherent risk measures, Nonlinear expectations of random sets, Risk measures in ordered normed linear spaces with non-empty cone-interior, Pricing under dynamic risk measures, A note on optimal risk sharing on $L^p$ spaces, Robustness regions for measures of risk aggregation, A composition between risk and deviation measures, Optimal capital and risk allocations for law- and cash-invariant convex functions, Conditional expectiles, time consistency and mixture convexity properties, Multivariate risk measures in the non-convex setting, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Capital requirements with defaultable securities, Булевозначный подход к анализу условного риска, Liquidity, Risk Measures, and Concentration of Measure, On the extension property of dilatation monotone risk measures, MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS, Existence of solutions for a class of bilevel stochastic linear programs, Regulatory arbitrage of risk measures, Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty, The restricted convex risk measures in actuarial solvency, Four theorems and a financial crisis
Cites Work
- Unnamed Item
- Monotone and cash-invariant convex functions and hulls
- On the worst conditional expectation.
- Efficient hedging with coherent risk measure
- Inf-convolution of risk measures and optimal risk transfer
- Consistent risk measures for portfolio vectors
- On the optimal risk allocation problem
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Law invariant risk measures have the Fatou property
- Pareto Equilibria with coherent measures of risk
- A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
- Stochastic finance. An introduction in discrete time
