On a subjective approach to risk measurement

DOI10.1080/14697680600739120zbMath1134.91481OpenAlexW1995748985MaRDI QIDQ3437407

Piotr Jaworski

Publication date: 9 May 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600739120

zbMATH Keywords

stochastic optimizationrisk measuresconvex analysisvalue at riskinventory theory

Mathematics Subject Classification ID

Inventory, storage, reservoirs (90B05) Statistical methods; economic indices and measures (91B82)

Related Items (3)

Coupling of Wiener processes by using copulas ⋮ Generalized quantiles as risk measures ⋮ On elicitable risk measures

Cites Work

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• Elements for a theory of financial risks
• Coherent Measures of Risk
• Dual Stochastic Dominance and Related Mean-Risk Models
• The Existence of Probability Measures with Given Marginals
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES

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