Kusuoka representations of coherent risk measures in general probability spaces
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-014-1748-6.pdf
Reference27 articles.
1. Artzner, P., Delbaen, F., Eber, J., & Heath, D. (1999). Coherent measures of risk. Mathematical Finance, 9(3), 203–228.
2. Bacharach, M. (1966). Matrix rounding problems. Management Science, 12(9), 732–742.
3. Bertsimas, D., & Brown, D. B. (2009). Constructing uncertainty sets for robust linear optimization. Operations Research, 57(6), 1483–1495.
4. Cheridito, P., & Li, T. (2008). Dual characterization of properties of risk measures on Orlicz hearts. Mathematics and Financial Economics, 2(1), 29–55.
5. Dana, R.-A. (2005). A representation result for concave schur concave functions. Mathematical Finance, 15(4), 613–634.
Cited by 10 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Generalized divergences for statistical evaluation of uncertainty in long-memory processes;Chaos, Solitons & Fractals;2024-05
2. Distributionally Robust Optimization Under a Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics;INFORMS Journal on Computing;2021-12-23
3. Stochastic Approximation for Risk-Aware Markov Decision Processes;IEEE Transactions on Automatic Control;2021-03
4. Near-Optimal Bayesian Ambiguity Sets for Distributionally Robust Optimization;Management Science;2019-09
5. SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES;International Journal of Theoretical and Applied Finance;2019-05
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3