On the worst conditional expectation.

DOI10.1016/S0022-247X(03)00477-3zbMath1160.60301OpenAlexW2080120649MaRDI QIDQ1413175

Akihiko Inoue

Publication date: 16 November 2003

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0022-247x(03)00477-3

zbMATH Keywords

Neyman-Pearson lemmacoherent risk measureworst conditional expectation

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Probability measures on topological spaces (60B05)

Related Items (17)

Relevant coherent measures of risk ⋮ Preference Robust Optimization for Choice Functions on the Space of CDFs ⋮ Conditional coherent risk measures and regime-switching conic pricing ⋮ Conditional risk and acceptability mappings as Banach-lattice valued mappings ⋮ On efficient portfolio selection using convex risk measures ⋮ Worst case portfolio vectors and diversification effects ⋮ Dynamic Minimization of Worst Conditional Expectation of Shortfall ⋮ Risk measures on ordered non-reflexive Banach spaces ⋮ Stochastic orders and risk measures: consistency and bounds ⋮ A composition between risk and deviation measures ⋮ On risk-averse stochastic semidefinite programs with continuous recourse ⋮ Risk-Averse Models in Bilevel Stochastic Linear Programming ⋮ On risk management problems related to a coherence property ⋮ On convex risk measures on \(L^{p}\)-spaces ⋮ Efficient hedging with coherent risk measure ⋮ Bilevel Linear Optimization Under Uncertainty ⋮ Insurance premium-based shortfall risk measure induced by cumulative prospect theory

Cites Work

• Efficient hedging with coherent risk measure
• Coherent Measures of Risk
• Probability with Martingales
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