Modeling and optimization of risk
This paper surveys the most recent advances in the context of decision making under
uncertainty, with an emphasis on the modeling of risk-averse preferences using the …
uncertainty, with an emphasis on the modeling of risk-averse preferences using the …
[图书][B] International Series in Operations Research & Management Science
FS Hillier, CC Price - 2001 - Springer
Conic optimization is a significant and thriving research area within the optimization
community. Conic optimization is the general class of problems concerned with optimizing a …
community. Conic optimization is the general class of problems concerned with optimizing a …
The axiomatic approach to risk measures for capital determination
H Föllmer, S Weber - Annual Review of Financial Economics, 2015 - annualreviews.org
The quantification of downside risk in terms of capital requirements is a key issue for both
regulators and the financial industry. This review presents the axiomatic approach, which is …
regulators and the financial industry. This review presents the axiomatic approach, which is …
Mathematical risk analysis
L Rüschendorf - Springer Ser. Oper. Res. Financ. Eng. Springer …, 2013 - Springer
This book gives an introduction to basic concepts and methods in mathematical risk
analysis, in particular to those parts of risk theory which are of particular relevance in finance …
analysis, in particular to those parts of risk theory which are of particular relevance in finance …
Quantile-based risk sharing
P Embrechts, H Liu, R Wang - Operations Research, 2018 - pubsonline.informs.org
We address the problem of risk sharing among agents using a two-parameter class of
quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their …
quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their …
Law invariant risk measures have the Fatou property
S. Kusuoka [KOI, Theorem 4] gave an interesting dual characterization of law invariant
coherent risk measures, satisfying the Fatou property. The latter property was introduced by …
coherent risk measures, satisfying the Fatou property. The latter property was introduced by …
Risk measures on Orlicz hearts
P Cheridito, T Li - Mathematical Finance: An International …, 2009 - Wiley Online Library
Coherent, convex, and monetary risk measures were introduced in a setup where uncertain
outcomes are modeled by bounded random variables. In this paper, we study such risk …
outcomes are modeled by bounded random variables. In this paper, we study such risk …
Optimal risk sharing for law invariant monetary utility functions
E Jouini, W Schachermayer… - Mathematical Finance: An …, 2008 - Wiley Online Library
We consider the problem of optimal risk sharing of some given total risk between two
economic agents characterized by law‐invariant monetary utility functions or equivalently …
economic agents characterized by law‐invariant monetary utility functions or equivalently …
Representation results for law invariant time consistent functions
M Kupper, W Schachermayer - Mathematics and Financial Economics, 2009 - Springer
We show that the only dynamic risk measure which is law invariant, time consistent and
relevant is the entropic one. Moreover, a real valued function c on L∞(a, b) is normalized …
relevant is the entropic one. Moreover, a real valued function c on L∞(a, b) is normalized …
Risk measures: rationality and diversification
S Cerreia‐Vioglio, F Maccheroni… - Mathematical …, 2011 - Wiley Online Library
When there is uncertainty about interest rates (typically due to either illiquidity or
defaultability of zero coupon bonds) the cash‐additivity assumption on risk measures …
defaultability of zero coupon bonds) the cash‐additivity assumption on risk measures …