We consider optimization problems involving coherent risk measures. We derive necessary and sufficient conditions of … optimality for these problems, and we discuss the nature of the nonanticipativity constraints. Next, we introdice dynamic risk … equations are developed. The theoretical considerations are illustrated with many examples of mean-risk models applied in …

effects due to the risk of a hypothetical FMD outbreak and trade distortions associated with the disease. The analysis was …

We introduce an axiomatic definition of a conditional convex risk mapping. By employing the techniques of conjugate … duality we derive properties of conditional risk mappings. In particular, we prove a representation theorem for conditional … risk mappings in terms of conditional expectations. We also develop dynamic programming relations for multistage …

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and …

optimally prepay or even default on agricultural mortgages. The model is used to quantify prepayment and default risk by valuing …

the value of the fishery(given the economic parameters: risk free interest rate and convenience yield) so as to accomplish …