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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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General dual measures of riskiness
Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304
Persistent link: https://www.econbiz.de/10010513819
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Essays on dual risk measures and the asymptotic term structure
Schulze, Klaas (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872174
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On dynamic coherent and convex risk measures : risk optimal behavior and information gains
Engelage, Daniel (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872175
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Consistent modeling of risk averse behavior with spectral risk measures : Wächter/Mazzoni revisited
Brandtner, Mario; Kürsten, Wolfgang - In: European journal of operational research : EJOR 259 (2017) 1, pp. 394-399
Persistent link: https://www.econbiz.de/10011645033
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250
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Risk sharing under heterogeneous beliefs without convexity
Liebrich, Felix-Benedikt - In: Finance and stochastics 28 (2024) 4, pp. 999-1033
Persistent link: https://www.econbiz.de/10015130543
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Weighted scoring rules and convex risk measures
Smith, Zachary J.; Bickel, J. Eric - In: Operations research 70 (2022) 6, pp. 3371-3385
Persistent link: https://www.econbiz.de/10014307829
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Hierarchical maximum likelihood parameter estimation for cumulative prospect theory : improving the reliability of individual risk parameter estimates
Murphy, Ryan O.; Brincke, Robert H. W. ten - In: Management science : journal of the Institute for … 64 (2018) 1, pp. 308-326
Persistent link: https://www.econbiz.de/10011819575
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Rank-Dependent Utility Maximization Under Risk Exposure Constraint
Ding, Peizhen - 2018
risk exposure using a general law- invariant risk measure such as Value-at-Risk and tail Value-at-Risk. The analytic … control the risk exposure when he/she has not enough money to invest or the constraint is very restrictive …
Persistent link: https://www.econbiz.de/10012925718