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Robust Preferences and Convex Measures of Risk
7 references·16 citing·38 second hop
Robust Preferences and Convex Measures of Risk (2002)Robust Preferences and Convex Measures of…Maxmin expected utility with non-unique prior (2010)Maxmin expected utility with …Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Coherent risk measures (2000)Coherent risk measuresCoherent Measures of Risk (1999)Coherent Measures of RiskUtility theory with uncertainty (1991)Utility theory with uncertain…Expected utility with purely subjective non-additive probabilities (1987)Expected utility with purely …Superhedging and Dynamic Risk Measures under Volatility Uncertainty (2012)Superhedging and Dynamic Risk…Efficient Risk Estimation via Nested Sequential Simulation (2011)Efficient Risk Estimation via…Robust Preferences and Robust Portfolio Choice (2009)Robust Preferences and Robust…Constructing Risk Measures from Uncertainty Sets (2009)Constructing Risk Measures fr…Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization (2008)Incorporating Asymmetric Dist…Optimal Financial Portfolios (2007)Optimal Financial PortfoliosHigher moment coherent risk measures (2007)Higher moment coherent risk m…Optimal investments for risk- and ambiguity-averse preferences: a duality approach (2006)Optimal investments for risk-…Law invariant convex risk measures (2006)Law invariant convex risk mea…Coherent and convex monetary risk measures for unbounded càdlàg processes (2006)Coherent and convex monetary …Risk measure pricing and hedging in incomplete markets (2005)Risk measure pricing and hedg…Reward–risk portfolio selection and stochastic dominance (2004)Reward–risk portfolio selecti…On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals (2004)On the Neyman–Pearson problem…Fundamental Theorems of Asset Pricing for Good Deal Bounds (2004)Fundamental Theorems of Asset…Coherent and convex monetary risk measures for bounded càdlàg processes (2004)Coherent and convex monetary …A valuation algorithm for indifference prices in incomplete markets (2004)A valuation algorithm for ind…Cores of convex games (1971)Modelling Extremal Events (1997)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Stochastic Finance: An Introduction in Discrete Time (2002)VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007)Optimal capital and risk allocations for law- and cash-invariant convex functions (2008)RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010)On law invariant coherent risk measures (2001)Ambiguous chance constrained problems and robust optimization (2005)Inf-convolution of risk measures and optimal risk transfer (2005)Law invariant risk measures have the Fatou property (2007)Risk, Ambiguity, and the Savage Axioms (1961)A theory of anticipated utility (1982)Risk attitudes and decision weights (1995)Ellsberg Revisited: An Experimental Study (2007)Advances in Prospect Theory: Cumulative Representation of Uncertainty (2016)Theory of games and economic behavior (2019)Optimization of conditional value-at-risk (2000)Statistical estimation of composite risk functionals and risk optimization problems (2016)A simulation comparison of risk measures for portfolio optimization (2017)Entropy based risk measures (2019)Portfolio Selection: Efficient Diversification of Investments (1959)A Soft Robust Model for Optimization Under Ambiguity (2010)Theory and Applications of Robust Optimization (2011)Worst-Case Value at Risk of Nonlinear Portfolios (2012)The Econometrics of Financial Markets (1997)Portfolio selection under distributional uncertainty: A relative robust CVaR approach (2009)TRACTABLE ROBUST EXPECTED UTILITY AND RISK MODELS FOR PORTFOLIO OPTIMIZATION (2010)The Econometrics of Financial Markets (2012)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Robust Permanent Income and Pricing (1999)How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013)Frameworks and Results in Distributionally Robust Optimization (2022)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1987Expected utility with purely subjective non-additive probabilities818 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2010Maxmin expected utility with non-unique prior484 cited
  • 2000Coherent risk measures308 cited
  • 1991Utility theory with uncertainty130 cited

Cited by

  • 2009Constructing Risk Measures from Uncertainty Sets165 cited
  • 2006Law invariant convex risk measures145 cited
  • 2008Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization134 cited
  • 2007Higher moment coherent risk measures132 cited
  • 2006Optimal investments for risk- and ambiguity-averse preferences: a duality approach126 cited
  • 2004Reward–risk portfolio selection and stochastic dominance119 cited
  • 2006Coherent and convex monetary risk measures for unbounded càdlàg processes113 cited
  • 2007Optimal Financial Portfolios109 cited
  • 2011Efficient Risk Estimation via Nested Sequential Simulation

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109 cited
  • 2004Fundamental Theorems of Asset Pricing for Good Deal Bounds94 cited
  • 2004A valuation algorithm for indifference prices in incomplete markets92 cited
  • 2005Risk measure pricing and hedging in incomplete markets91 cited
  • 2004Coherent and convex monetary risk measures for bounded càdlàg processes91 cited
  • 2004On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals87 cited
  • 2009Robust Preferences and Robust Portfolio Choice84 cited
  • 2012Superhedging and Dynamic Risk Measures under Volatility Uncertainty82 cited