Risk Measures and Robust Optimization Problems

DOI10.1080/15326340600878677zbMath1211.91151OpenAlexW2086026303MaRDI QIDQ3424149

Alexander Schied

Publication date: 15 February 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340600878677

zbMATH Keywords

model uncertaintyrisk measureKnightian uncertaintylaw-invariant risk measurevalue at riskoptimal investmentconvex measure of risk

Mathematics Subject Classification ID

Related Items (14)

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties ⋮ Entropic value-at-risk: a new coherent risk measure ⋮ Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders ⋮ ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES ⋮ Exponential utility maximization under model uncertainty for unbounded endowments ⋮ Robust utility maximisation in markets with transaction costs ⋮ Robust optimal control for a consumption-investment problem ⋮ UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME ⋮ Compactness in spaces of inner regular measures and a general portmanteau lemma ⋮ Measures of model uncertainty and calibrated option bounds ⋮ Optimal Portfolio Choice Based on α-MEU Under Ambiguity ⋮ An overview of representation theorems for static risk measures ⋮ Robust Portfolio Choice and Indifference Valuation ⋮ Robust utility maximization of terminal wealth with drift and volatility uncertainty

Cites Work

• Unnamed Item
• Unnamed Item
• The necessity of strongly subadditive capacities for Neyman-Pearson minimax tests
• Maxmin expected utility with non-unique prior
• Binary experiments, minimax tests and 2-alternating capacities
• Optional decompositions under constraints
• Core of convex distortions of a probability.
• Convex measures of risk and trading constraints
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Efficient hedging: cost versus shortfall risk
• Conditioned stochastic differential equations: theory, examples and application to finance.
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent and convex monetary risk measures for bounded càdlàg processes
• Dynamic coherent risk measures
• Robust utility maximization for complete and incomplete markets
• Inf-convolution of risk measures and optimal risk transfer
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Minimax tests and the Neyman-Pearson lemma for capacities
• Coherent Measures of Risk
• Law invariant risk measures have the Fatou property
• Subjective Probability and Expected Utility without Additivity
• On solutions of minimax test problems for special capacities
• Robustness of the Black and Scholes Formula
• Dynamic Minimization of Worst Conditional Expectation of Shortfall
• The Dual Theory of Choice under Risk
• Pareto Equilibria with coherent measures of risk
• Polyhedral Risk Measures in Stochastic Programming
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Duality theory for optimal investments under model uncertainty
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• A generalization of a problem of Steinhaus
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• A Definition of Subjective Probability
• Robust Statistics
• Generalized Neyman-Pearson lemma via convex duality.
• Coherent risk measures and good-deal bounds

This page was built for publication: Risk Measures and Robust Optimization Problems