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

## Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
**Cited by:**

- Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017.
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**Computational aspects of robust optimized certainty equivalents and option pricing**," Papers 1706.10186, arXiv.org, revised Apr 2018. - repec:spr:compst:v:74:y:2011:i:2:p:191-215 is not listed on IDEAS
- Takao Asano & Takuji Arai & Katsumasa Nishide, 2017.
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**Optimal Initial Capital Induced by the Optimized Certainty Equivalent**," KIER Working Papers 981, Kyoto University, Institute of Economic Research. - Guy Uziel & Ran El-Yaniv, 2017.
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**Growth-Optimal Portfolio Selection under CVaR Constraints**," Papers 1705.09800, arXiv.org. - repec:spr:joptap:v:155:y:2012:i:3:d:10.1007_s10957-011-9968-2 is not listed on IDEAS
- Elisa Pagani, 2015.
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**Certainty Equivalent: Many Meanings of a Mean**," Working Papers 24/2015, University of Verona, Department of Economics. - repec:spr:annopr:v:249:y:2017:i:1:d:10.1007_s10479-016-2326-x is not listed on IDEAS
- Jinwook Lee & András Prékopa, 2015.
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**Decision-making from a risk assessment perspective for Corporate Mergers and Acquisitions**," Computational Management Science, Springer, vol. 12(2), pages 243-266, April. - Yannick Armenti & Stephane Crepey & Samuel Drapeau & Antonis Papapantoleon, 2015.
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**Multivariate Shortfall Risk Allocation and Systemic Risk**," Papers 1507.05351, arXiv.org, revised Mar 2017. - Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014.
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**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. - Patrick Cheridito & Michael Kupper & Ludovic Tangpi, 2016.
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**Duality formulas for robust pricing and hedging in discrete time**," Papers 1602.06177, arXiv.org, revised Sep 2017. - Bellini Fabio & Rosazza Gianin Emanuela, 2008.
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**Optimal portfolios with Haezendonck risk measures**," Statistics & Risk Modeling, De Gruyter, vol. 26(2), pages 89-108, March. - repec:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5 is not listed on IDEAS
- Louis Raymond Eeckhoudt & Elisa Pagani & Emanuela Rosazza Gianin, 2016.
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**Prudence, risk measures and the Optimized Certainty Equivalent: a note**," Working Papers 07/2016, University of Verona, Department of Economics. - Qiang Yao & Xinmin Yang & Jie Sun, 2017.
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**Duality in Regret Measures and Risk Measures**," Papers 1705.00340, arXiv.org. - repec:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500261 is not listed on IDEAS
- repec:spr:annopr:v:262:y:2018:i:1:d:10.1007_s10479-017-2441-3 is not listed on IDEAS
- Stephan Eckstein & Michael Kupper, 2018.
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**Computation of optimal transport and related hedging problems via penalization and neural networks**," Papers 1802.08539, arXiv.org. - A. Paç & Mustafa Pınar, 2014.
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**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. - Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018.
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**Deep Hedging**," Papers 1802.03042, arXiv.org. - Yannick Armenti & Stéphane Crépey & Samuel Drapeau & Antonis Papapantoleon, 2018.
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**Multivariate Shortfall Risk Allocation and Systemic Risk**," Working Papers hal-01764398, HAL. - Postek, K.S. & den Hertog, D. & Melenberg, B., 2014.
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**Tractable Counterparts of Distributionally Robust Constraints on Risk Measures**," Discussion Paper 2014-031, Tilburg University, Center for Economic Research. - Roger J. A. Laeven & Mitja Stadje, 2013.
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**Entropy Coherent and Entropy Convex Measures of Risk**," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.- Laeven, R.J.A. & Stadje, M.A., 2011.
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**Entropy Coherent and Entropy Convex Measures of Risk**," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.

- Laeven, R.J.A. & Stadje, M.A., 2011.
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- c{C}au{g}{i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014.
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**Set-valued shortfall and divergence risk measures**," Papers 1405.4905, arXiv.org, revised Sep 2017. - Zachary Feinstein & Birgit Rudloff & Stefan Weber, 2015.
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**Measures of Systemic Risk**," Papers 1502.07961, arXiv.org, revised Oct 2016. - repec:spr:annopr:v:249:y:2017:i:1:d:10.1007_s10479-015-1801-0 is not listed on IDEAS
- Postek, K.S. & den Hertog, D. & Melenberg, B., 2015.
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**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. - Julio Backhoff & Ulrich Horst, 2014.
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**Conditional Analysis and a Principal-Agent problem**," Papers 1412.4698, arXiv.org, revised Jun 2016. - Radu Boţ & Alina-Ramona Frătean, 2011.
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**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. - Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016.
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**Robust optimal risk sharing and risk premia in expanding pools**," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.- Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2016.
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**Robust Optimal Risk Sharing and Risk Premia in Expanding Pools**," Papers 1601.06979, arXiv.org.

- Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2016.
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- Eskandarzadeh, Saman & Eshghi, Kourosh & Bahramgiri, Mohsen, 2016.
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**Risk shaping in production planning problem with pricing under random yield**," European Journal of Operational Research, Elsevier, vol. 253(1), pages 108-120. - Yan, Jun, 2015.
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**Deviations of convex and coherent entropic risk measures**," Statistics & Probability Letters, Elsevier, vol. 100(C), pages 56-66. - William B. Haskell & Wenjie Huang & Huifu Xu, 2018.
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**Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions**," Papers 1805.06632, arXiv.org. - Gao, Fuqing & Wang, Shaochen, 2011.
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**Asymptotic behavior of the empirical conditional value-at-risk**," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 345-352. - repec:gam:jrisks:v:6:y:2018:i:1:p:23-:d:136998 is not listed on IDEAS
- Krokhmal, Pavlo A. & Soberanis, Policarpio, 2010.
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**Risk optimization with p-order conic constraints: A linear programming approach**," European Journal of Operational Research, Elsevier, vol. 201(3), pages 653-671, March. - repec:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9656-x is not listed on IDEAS
- repec:spr:aistmt:v:69:y:2017:i:4:d:10.1007_s10463-016-0559-8 is not listed on IDEAS
- repec:eee:ejores:v:267:y:2018:i:1:p:288-303 is not listed on IDEAS