SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES

DOI10.1142/S0219024917500261zbMath1396.91807arXiv1405.4905MaRDI QIDQ5357511

Çağın Ararat, Birgit Rudloff, Andreas H. Hamel

Publication date: 8 September 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.4905

zbMATH Keywords

relative entropydivergencetransaction costLagrange dualitysolvency coneset optimizationinfimal convolutionliquidity riskentropic risk measureaverage value at riskshortfall riskmultivariate riskset-valued risk measureincomplete preferenceoptimized certainty equivalent

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15)

Related Items (16)

A new coherent multivariate average-value-at-risk ⋮ SET-VALUED CASH SUB-ADDITIVE RISK MEASURES ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle ⋮ Set-valued loss-based risk measures ⋮ A supermartingale relation for multivariate risk measures ⋮ Primal and dual approximation algorithms for convex vector optimization problems ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ Multivariate Shortfall Risk Allocation and Systemic Risk ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ Set-valued risk measures as backward stochastic difference inclusions and equations ⋮ Set-valued Haezendonck-Goovaerts risk measure and its properties ⋮ Dual representations for systemic risk measures ⋮ CAPITAL ALLOCATION FOR SET-VALUED RISK MEASURES ⋮ Regulator-based risk statistics for portfolios ⋮ Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation

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