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Evaluations of Risk Measures for Different Probability Measures
16 references·4 citing·33 second hop
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this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999An Introduction to Copulas7,743 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2005Generalized deviations in risk analysis572 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2011The 1/N investment strategy is optimal under high model ambiguity221 cited
  • 2012A Distance For Multistage Stochastic Optimization Models134 cited
  • 2006Weighted V@R and its Properties117 cited
  • 2008Properties of Distortion Risk Measures115 cited
  • 2011Approximations for Probability Distributions and Stochastic Optimization Problems73 cited
  • 2002Portfolio Optimization with Spectral Measures of Risk69 cited
  • 2006On distortion functionals46 cited

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Cited by

  • 2015Tree approximation for discrete time stochastic processes: a process distance approach34 cited
  • 2013Premiums and reserves, adjusted by distortions34 cited
  • 2022Estimating processes in adapted Wasserstein distance30 cited
  • 2014Time Consistency0 cited