Set-valued loss-based risk measures
type: Item
instance of: scholarly article
title: Set-valued loss-based risk measures
zbMATH Open document ID: 1396.91814
author: Fei Sun
author: Yanhong Chen
author: Yijun Hu
published in: Positivity
publication date: 2018-09-05T00:00:00Z
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 26E25
zbMATH DE Number: 6932301
zbMATH Keywords: loss-based
zbMATH Keywords: risk measure
zbMATH Keywords: set-valued
MaRDI profile type: Publication
full work available at URL: s11117-017-0550-5
OpenAlex ID: W2782298201
cites work: SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
cites work: Coherent measures of risk
cites work: Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
cites work: AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
cites work: Coherent and convex loss-based risk measures for portfolio vectors
cites work: Loss-based risk measures
cites work: CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
cites work: Measuring risk with multiple eligible assets
cites work: Convex measures of risk and trading constraints
cites work: Stochastic finance. An introduction in discrete time
cites work: A duality theory for set-valued functions. I: Fenchel conjugation theory
cites work: Duality for Set-Valued Measures of Risk
cites work: Set-valued risk measures for conical market models
cites work: Set-valued average value at risk and its computation
cites work: Vector-valued coherent risk measures
cites work: Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
cites work: Multivariate risk measures: a constructive approach based on selections
DOI: 10.1007/S11117-017-0550-5
description: scientific article; zbMATH DE number 6932301