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An Old-New Concept Of Convex Risk Measures: The Optimized Certainty Equivalent

Citations

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Cited by:

  1. A. Paç & Mustafa Pınar, 2014. "Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 875-891, October.
  2. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
  3. Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018. "Multivariate Shortfall Risk Allocation and Systemic Risk," Working Papers hal-01764398, HAL.
  4. Postek, K.S. & den Hertog, D. & Melenberg, B., 2014. "Tractable Counterparts of Distributionally Robust Constraints on Risk Measures," Discussion Paper 2014-031, Tilburg University, Center for Economic Research.
  5. Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
  6. Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017. "Computational aspects of robust optimized certainty equivalents and option pricing," Papers 1706.10186, arXiv.org, revised Apr 2018.
  7. 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.
  8. repec:spr:compst:v:74:y:2011:i:2:p:191-215 is not listed on IDEAS
  9. Takao Asano & Takuji Arai & Katsumasa Nishide, 2017. "Optimal Initial Capital Induced by the Optimized Certainty Equivalent," KIER Working Papers 981, Kyoto University, Institute of Economic Research.
  10. Zachary Feinstein & Birgit Rudloff & Stefan Weber, 2015. "Measures of Systemic Risk," Papers 1502.07961, arXiv.org, revised Oct 2016.
  11. Guy Uziel & Ran El-Yaniv, 2017. "Growth-Optimal Portfolio Selection under CVaR Constraints," Papers 1705.09800, arXiv.org.
  12. repec:spr:annopr:v:249:y:2017:i:1:d:10.1007_s10479-015-1801-0 is not listed on IDEAS
  13. Postek, K.S. & den Hertog, D. & Melenberg, B., 2015. "Computationally Tractable Counterparts of Distributionally Robust Constraints on Risk Measures (revision of CentER DP 2014-031)," Discussion Paper 2015-047, Tilburg University, Center for Economic Research.
  14. Julio Backhoff & Ulrich Horst, 2014. "Conditional Analysis and a Principal-Agent problem," Papers 1412.4698, arXiv.org, revised Jun 2016.
  15. repec:spr:joptap:v:155:y:2012:i:3:d:10.1007_s10957-011-9968-2 is not listed on IDEAS
  16. Radu Boţ & Alina-Ramona Frătean, 2011. "Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(2), pages 191-215, October.
  17. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
  18. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
  19. Eskandarzadeh, Saman & Eshghi, Kourosh & Bahramgiri, Mohsen, 2016. "Risk shaping in production planning problem with pricing under random yield," European Journal of Operational Research, Elsevier, vol. 253(1), pages 108-120.
  20. repec:spr:annopr:v:249:y:2017:i:1:d:10.1007_s10479-016-2326-x is not listed on IDEAS
  21. Yan, Jun, 2015. "Deviations of convex and coherent entropic risk measures," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 56-66.
  22. Jinwook Lee & András Prékopa, 2015. "Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions," Computational Management Science, Springer, vol. 12(2), pages 243-266, April.
  23. Yannick Armenti & Stephane Crepey & Samuel Drapeau & Antonis Papapantoleon, 2015. "Multivariate Shortfall Risk Allocation and Systemic Risk," Papers 1507.05351, arXiv.org, revised Mar 2017.
  24. William B. Haskell & Wenjie Huang & Huifu Xu, 2018. "Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions," Papers 1805.06632, arXiv.org.
  25. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
  26. Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016. "Duality formulas for robust pricing and hedging in discrete time," Papers 1602.06177, arXiv.org, revised Sep 2017.
  27. Gao, Fuqing & Wang, Shaochen, 2011. "Asymptotic behavior of the empirical conditional value-at-risk," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 345-352.
  28. repec:gam:jrisks:v:6:y:2018:i:1:p:23-:d:136998 is not listed on IDEAS
  29. Bellini Fabio & Rosazza Gianin Emanuela, 2008. "Optimal portfolios with Haezendonck risk measures," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 89-108, March.
  30. repec:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5 is not listed on IDEAS
  31. Krokhmal, Pavlo A. & Soberanis, Policarpio, 2010. "Risk optimization with p-order conic constraints: A linear programming approach," European Journal of Operational Research, Elsevier, vol. 201(3), pages 653-671, March.
  32. Louis Raymond Eeckhoudt & Elisa Pagani & Emanuela Rosazza Gianin, 2016. "Prudence, risk measures and the Optimized Certainty Equivalent: a note," Working Papers 07/2016, University of Verona, Department of Economics.
  33. Qiang Yao & Xinmin Yang & Jie Sun, 2017. "Duality in Regret Measures and Risk Measures," Papers 1705.00340, arXiv.org.
  34. repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9656-x is not listed on IDEAS
  35. repec:spr:aistmt:v:69:y:2017:i:4:d:10.1007_s10463-016-0559-8 is not listed on IDEAS
  36. repec:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261 is not listed on IDEAS
  37. repec:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-017-2441-3 is not listed on IDEAS
  38. repec:eee:ejores:v:267:y:2018:i:1:p:288-303 is not listed on IDEAS
  39. Stephan Eckstein & Michael Kupper, 2018. "Computation of optimal transport and related hedging problems via penalization and neural networks," Papers 1802.08539, arXiv.org.
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