Conditional risk and acceptability mappings as Banach-lattice valued mappings
From MaRDI portal
Publication:3224134
DOI10.1524/STRM.2012.1041zbMath1238.91084OpenAlexW2319080939MaRDI QIDQ3224134
Publication date: 29 March 2012
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/strm.2012.1041
Related Items (4)
Recursive risk measures under regime switching applied to portfolio selection ⋮ Time consistency of dynamic risk measures in markets with transaction costs ⋮ ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE? ⋮ Valuation and pricing of electricity delivery contracts: the producer's view
Cites Work
- Dynamic monetary risk measures for bounded discrete-time processes
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- On convex risk measures on \(L^{p}\)-spaces
- On the worst conditional expectation.
- Convex measures of risk and trading constraints
- Advances in mathematical economics. Vol. 3
- Efficient hedging with coherent risk measure
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Conditional and dynamic convex risk measures
- Generalized deviations in risk analysis
- Subdifferential representations of risk measures
- Measuring risk for income streams
- Coherent Measures of Risk
- RISK MEASURES ON ORLICZ HEARTS
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Polyhedral Risk Measures in Stochastic Programming
- Optimization of Convex Risk Functions
- Conditional Risk Mappings
- Higher moment coherent risk measures
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Extreme Value Theory as a Risk Management Tool
- Semicontinuity of vector-valued mappings
- Coherent risk measures and good-deal bounds
This page was built for publication: Conditional risk and acceptability mappings as Banach-lattice valued mappings
