Risk measures in the form of infimal convolution

DOI10.1007/s10559-021-00327-zzbMath1470.91331OpenAlexW3128522869MaRDI QIDQ2043964

V. S. Kirilyuk

Publication date: 4 August 2021

Published in: Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10559-021-00327-z

zbMATH Keywords

subdifferentialexpected utilityconvex risk measureconditional value-at-riskcoherent risk measuredual representationinfimal convolutiondeterministic equivalent

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Convex programming (90C25)

Related Items (1)

Polyhedral coherent risk measure and distributionally robust portfolio optimization

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