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Dual characterization of properties of risk measures on Orlicz hearts · Study

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ArticleDual characterization of properties of risk measures on Orlicz hearts

Patrick Cheridito2008

Article2008

Dual characterization of properties of risk measures on Orlicz hearts

Patrick Cheridito · Tianhui Li

73 citations·0/0 files stored·Mathematics and Financial Economics

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2002Coherent Risk Measures on General Probability Spaces 2004Stochastic Finance 2002Putting order in risk measures 2001On law invariant coherent risk measures

Cited by

2012Approaches to Conditional Risk 2015Risk measures with the CxLS property 2013The natural Banach space for version independent risk measures 2012Haezendonck–Goovaerts risk measures and Orlicz quantiles 2013Measuring and Allocating Systemic Risk 2013Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences

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2009Robust Preferences and Robust Portfolio Choicechapter · 13 shared references 2006Risk Measures and Robust Optimization Problemsarticle · 12 shared references 2009RISK MEASURES ON ORLICZ HEARTSarticle · 11 shared references 2010Modeling and optimization of riskarticle · 10 shared references 2011Optimal reinsurance under general law-invariant risk measuresarticle · 10 shared references 2010Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decompositionarticle · 10 shared references

Details

Year2008

Typearticle

Published2008-07-01

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations73

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11579-008-0013-7

openalex_workW2030405249

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