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DISTORTION RISKMETRICS ON GENERAL SPACES
16 references·2 citing·30 second hop
DISTORTION RISKMETRICS ON GENERAL SPACES (2020)DISTORTION RISKMETRICS ON GENERAL SPACESStochastic Finance (2016)Stochastic FinanceHigher order elicitability and Osband’s principle (2016)Higher order elicitability an…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…New Measures for Performance Evaluation (2008)New Measures for Performance …Optimization of Convex Risk Functions (2006)Optimization of Convex Risk F…Generalized deviations in risk analysis (2005)Generalized deviations in ris…Actuarial Theory for Dependent Risks (2005)Actuarial Theory for Dependen…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Putting order in risk measures (2002)Putting order in risk measuresConvex 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…On law invariant coherent risk measures (2001)On law invariant coherent ris…Coherent Measures of Risk (1999)Coherent Measures of RiskAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…The Dual Theory of Choice under Risk (1987)The Dual Theory of Choice und…Robust distortion risk measures (2023)Robust distortion risk measur…Cascade Sensitivity Measures (2018)Cascade Sensitivity MeasuresCores of convex games (1971)Modelling Extremal Events (1997)An Overview of Value at Risk (1997)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Robustness and sensitivity analysis of risk measurement procedures (2010)A theory of anticipated utility (1982)Prospect theory: An analysis of decision under risk (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Advances in prospect theory: Cumulative representation of uncertainty (1992)Individual differences in reasoning: Implications for the rationality debate? (2000)Subjective probability and expected utility without additivity (2004)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)PORTFOLIO SELECTION* (1952)A Robust Optimization Perspective on Stochastic Programming (2007)Value-at-Risk vs. Conditional Value-at-Risk in Risk Management and Optimization (2008)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Expected shortfall and beyond (2002)Frameworks and Results in Distributionally Robust Optimization (2022)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)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1987The Dual Theory of Choice under Risk2,426 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2002Putting order in risk measures684 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2005Generalized deviations in risk analysis572 cited
  • 2005Actuarial Theory for Dependent Risks536 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 2016Higher order elicitability and Osband’s principle445 cited
  • 2016Stochastic Finance395 cited
  • 2008New Measures for Performance Evaluation318 cited

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2023
Robust distortion risk measures
50 cited
  • 2018Cascade Sensitivity Measures17 cited