Kusuoka representation of higher order dual risk measures

DOI10.1007/s10479-010-0747-5zbMath1209.91078OpenAlexW1979079176MaRDI QIDQ2430606

Spiridon I. Penev, Dentcheva, Darinka, Ruszczyński, Andrzej

Publication date: 8 April 2011

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-010-0747-5

zbMATH Keywords

optimizationdualityLorenz curveFano factoraverage value at riskquantile functionscoherent measures of risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (16)

Refinements of Kusuoka representations on L^∞ ⋮ Cut generation for optimization problems with multivariate risk constraints ⋮ A quantitative comparison of risk measures ⋮ Statistical estimation of composite risk functionals and risk optimization problems ⋮ Entropy based risk measures ⋮ Risk budgeting portfolios from simulations ⋮ Haezendonck-Goovaerts risk measures and Orlicz quantiles ⋮ Second-order properties of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ Technical Note—Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization ⋮ Kusuoka representations of coherent risk measures in general probability spaces ⋮ A composition between risk and deviation measures ⋮ Estimation of the Haezendonck-Goovaerts risk measure for extreme risks ⋮ On the extension property of dilatation monotone risk measures ⋮ Higher-moment buffered probability ⋮ Minimal representation of insurance prices ⋮ Quantitative stability analysis for minimax distributionally robust risk optimization

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