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Set-valued average value at risk and its computation

Citations

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Cited by:

  1. Jinping Zhang & Keming Zhang, 2022. "Portfolio selection models based on interval-valued conditional value at risk (ICVaR) and empirical analysis," Papers 2201.02987, arXiv.org, revised Jul 2022.
  2. c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org, revised Sep 2017.
  3. Cosimo Munari, 2020. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Papers 2009.04151, arXiv.org.
  4. Zachary Feinstein & Birgit Rudloff, 2017. "A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle," Journal of Global Optimization, Springer, vol. 68(1), pages 47-69, May.
  5. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2015. "Intragroup transfers, intragroup diversification and their risk assessment," Papers 1511.06320, arXiv.org, revised Nov 2016.
  6. Andreas Haier & Ilya Molchanov & Michael Schmutz, 2016. "Intragroup transfers, intragroup diversification and their risk assessment," Annals of Finance, Springer, vol. 12(3), pages 363-392, December.
  7. Emmanuel Lepinette & Ilya Molchanov, 2016. "Risk Arbitrage and Hedging to Acceptability under Transaction Costs," Papers 1605.07884, arXiv.org, revised Apr 2020.
  8. Giovanni Paolo Crespi & Elisa Mastrogiacomo, 2020. "Qualitative robustness of set-valued value-at-risk," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 25-54, February.
  9. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
  10. Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
  11. Benjamin Weißing, 2020. "The polyhedral projection problem," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(1), pages 55-72, February.
  12. Yanhong Chen & Yijun Hu, 2019. "Set-Valued Law Invariant Coherent And Convex Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(03), pages 1-18, May.
  13. Andreas Hamel & Andreas Löhne & Birgit Rudloff, 2014. "Benson type algorithms for linear vector optimization and applications," Journal of Global Optimization, Springer, vol. 59(4), pages 811-836, August.
  14. Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
  15. Zachary Feinstein & Birgit Rudloff, 2015. "A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle," Papers 1508.02367, arXiv.org, revised Jul 2016.
  16. Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
  17. Cascos Fernández, Ignacio & Molchanov, Ilya, 2013. "Multivariate risk measures : a constructive approach based on selections," DES - Working Papers. Statistics and Econometrics. WS ws130101, Universidad Carlos III de Madrid. Departamento de Estadística.
  18. Chen, Yanhong & Hu, Yijun, 2017. "Set-valued risk statistics with scenario analysis," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 25-37.
  19. Gabriele Torri & Rosella Giacometti & Darinka Dentcheva & Svetlozar T. Rachev & W. Brent Lindquist, 2023. "ESG-coherent risk measures for sustainable investing," Papers 2309.05866, arXiv.org.
  20. Xiaochuan Deng & Fei Sun, 2019. "Regulator-based risk statistics for portfolios," Papers 1904.08829, arXiv.org, revised Jun 2020.
  21. Andreas H. Hamel & Andreas Löhne, 2014. "Lagrange Duality in Set Optimization," Journal of Optimization Theory and Applications, Springer, vol. 161(2), pages 368-397, May.
  22. Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised Jan 2018.
  23. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org.
  24. Bingchu Nie & Dejian Tian & Long Jiang, 2024. "Set-valued Star-Shaped Risk Measures," Papers 2402.18014, arXiv.org.
  25. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  26. Cosimo Munari, 2021. "Multi-utility representations of incomplete preferences induced by set-valued risk measures," Finance and Stochastics, Springer, vol. 25(1), pages 77-99, January.
  27. Andreas Löhne & Birgit Rudloff & Firdevs Ulus, 2014. "Primal and dual approximation algorithms for convex vector optimization problems," Journal of Global Optimization, Springer, vol. 60(4), pages 713-736, December.
  28. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  29. Emmanuel Lepinette & Ilya Molchanov, 2017. "Conditional cores and conditional convex hulls of random sets," Papers 1711.10303, arXiv.org.
  30. Emmanuel Lépinette & Ilya Molchanov, 2021. "Risk arbitrage and hedging to acceptability under transaction costs," Finance and Stochastics, Springer, vol. 25(1), pages 101-132, January.
  31. Elisa Mastrogiacomo & Matteo Rocca, 2021. "Set optimization of set-valued risk measures," Annals of Operations Research, Springer, vol. 296(1), pages 291-314, January.
  32. Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
  33. Xiao Liu & Simge Küçükyavuz & Nilay Noyan, 2017. "Robust multicriteria risk-averse stochastic programming models," Annals of Operations Research, Springer, vol. 259(1), pages 259-294, December.
  34. Tomer Shushi, 2018. "Towards a Topological Representation of Risks and Their Measures," Risks, MDPI, vol. 6(4), pages 1-11, November.
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