Search Results - subject:"coherent measures of risk"

Distributional robustness, stochastic divergences, and the quadrangle of risk

Rockafellar, Ralph Tyrrell - In: Computational management science 21 (2024) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10014636812

Stability and sample-based approximations of composite stochastic optimization problems

Dentcheva, Darinka; Lin, Yang; Penev, Spiridon - In: Operations research 71 (2023) 5, pp. 1871-1888

Persistent link: https://www.econbiz.de/10014393285

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the …

Persistent link: https://www.econbiz.de/10011444422

Fair risk allocation in illiquid markets

Csoka, Peter - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2015

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the …

Persistent link: https://www.econbiz.de/10011253012

Fair risk allocation in illiquid markets

Csóka, Péter - 2015

risky assets. Using coherent measures of risk the sum of the capital requirements of the divisions is larger than the …

Persistent link: https://www.econbiz.de/10010481803

Risk Allocation under Liquidity Constraints

Csóka, Péter; Herings, P. Jean-Jacques - 2014

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...

Persistent link: https://www.econbiz.de/10010398404

Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity

Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - 2014

In finance risk capital allocation raises important questions both from theoretical and practical points of view. How to share risk of a portfolio among its subportfolios? How to reserve capital in order to hedge existing risk and how to assign this to different business units? We use an...

Persistent link: https://www.econbiz.de/10010494585

An optimal three-way stable and monotonic spectrum of bounds on quantiles: A spectrum of coherent measures of financial risk and economic inequality

Pinelis, Iosif - In: Risks 2 (2014) 3, pp. 349-392

distribution of X is regular enough, then Qα(X;p) is rather close to Q(X;p). Moreover, these quantile bounds are coherent measures … of risk. Furthermore, Qα(X;p) is the optimal value in a certain minimization problem, the minimizers in which are …

Persistent link: https://www.econbiz.de/10011709506

Risk Allocation under Liquidity Constraints

Csóka, Péter; Herings, P. Jean-Jacques - Fondazione ENI Enrico Mattei (FEEM) - 2014

Persistent link: https://www.econbiz.de/10010781880

Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity

Balog, Dóra; Bátyi, Tamás László; Csóka, Péter; … - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2014

Persistent link: https://www.econbiz.de/10010941767