Kusuoka representations of coherent risk measures in general probability spaces

DOI10.1007/s10479-014-1748-6zbMath1358.91066OpenAlexW2142865798MaRDI QIDQ492837

Gábor Rudolf, Nilay Noyan

Publication date: 21 August 2015

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

Full work available at URL: https://doi.org/10.1007/s10479-014-1748-6

zbMATH Keywords

coherent risk measurescomonotonicityspectral risk measureslaw invarianceKusuoka representationacceptability functional

Mathematics Subject Classification ID

Related Items (8)

Superquantile/CVaR risk measures: second-order theory ⋮ A quantitative comparison of risk measures ⋮ Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics ⋮ Risk forms: representation, disintegration, and application to partially observable two-stage systems ⋮ SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES ⋮ Kusuoka representations of coherent risk measures in general probability spaces ⋮ A composition between risk and deviation measures ⋮ Optimization with Stochastic Preferences Based on a General Class of Scalarization Functions

Uses Software

• QRM

Cites Work

• Risk preferences on the space of quantile functions
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• Optimization with Multivariate Conditional Value-at-Risk Constraints
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• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
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