COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES

DOI10.1111/j.1467-9965.2011.00495.xzbMath1262.91025OpenAlexW1796513437MaRDI QIDQ4917303

Anton Molyboha, Bogdan Grechuk, Michael Zabarankin

Publication date: 29 April 2013

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00495.x

zbMATH Keywords

cooperative gamesrisk sharingportfolio theorydeviation measures

Mathematics Subject Classification ID

Cooperative games (91A12)

Related Items (9)

The center of a convex set and capital allocation ⋮ Sensitivity Analysis in Applications with Deviation, Risk, Regret, and Error Measures ⋮ On dynamic deviation measures and continuous-time portfolio optimization ⋮ Synergy effect of cooperative investment ⋮ A note on optimal risk sharing on $L^p$ spaces ⋮ Inverse portfolio problem with mean-deviation model ⋮ Extended gradient of convex function and capital allocation ⋮ Individual and cooperative portfolio optimization as linear program ⋮ Pooling Risk Games

Cites Work

• On comonotonicity of Pareto optimal risk sharing
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Optimal risk sharing with general deviation measures
• Generalized deviations in risk analysis
• Optimality conditions in portfolio analysis with general deviation measures
• Coherent Measures of Risk
• Risk Tuning with Generalized Linear Regression
• Maximum Entropy Principle with General Deviation Measures
• The Dual Theory of Choice under Risk
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS

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