IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v38y2006i2p289-297.html
   My bibliography  Save this item

Consistent risk measures for portfolio vectors

Citations

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


Cited by:

  1. Hans Buhler & Lukas Gonon & Josef Teichmann & Ben Wood, 2018. "Deep Hedging," Papers 1802.03042, arXiv.org.
  2. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  3. Cousin, Areski & Di Bernardino, Elena, 2014. "On multivariate extensions of Conditional-Tail-Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 272-282.
  4. Maume-Deschamps Véronique & Rullière Didier & Said Khalil, 2017. "Multivariate extensions of expectiles risk measures," Dependence Modeling, De Gruyter, vol. 5(1), pages 20-44, January.
  5. Cousin, Areski & Laurent, Jean-Paul, 2008. "Comparison results for exchangeable credit risk portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1118-1127, June.
  6. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
  7. repec:dau:papers:123456789/2278 is not listed on IDEAS
  8. 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.
  9. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
  10. Jonathan Ansari & Eva Lutkebohmert, 2024. "Robust Bernoulli mixture models for credit portfolio risk," Papers 2411.11522, arXiv.org.
  11. repec:spo:wpmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  12. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
  13. repec:spo:wpecon:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  14. Torres, Raúl & Lillo, Rosa E. & Laniado, Henry, 2015. "A directional multivariate value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 111-123.
  15. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
  16. Maria Arduca & Pablo Koch-Medina & Cosimo Munari, 2019. "Dual representations for systemic risk measures based on acceptance sets," Papers 1906.10933, arXiv.org, revised Oct 2019.
  17. 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.
  18. Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
  19. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate risks and depth-trimmed regions," Papers math/0606520, arXiv.org, revised Nov 2006.
  20. Aray Almen & Darinka Dentcheva, 2024. "On Risk Evaluation and Control of Distributed Multi-agent Systems," Journal of Optimization Theory and Applications, Springer, vol. 203(2), pages 2025-2054, November.
  21. Andreas H. Hamel & Birgit Rudloff & Mihaela Yankova, 2012. "Set-valued average value at risk and its computation," Papers 1202.5702, arXiv.org, revised Jan 2013.
  22. repec:hal:wpspec:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  23. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
  24. Alfred Galichon, 2010. "The Var At Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(04), pages 503-506.
  25. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
  26. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  27. 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.
  28. Areski Cousin & Elena Di Bernardino, 2013. "On Multivariate Extensions of Conditional-Tail-Expectation," Working Papers hal-00877386, HAL.
  29. Chen, Yanhong & Hu, Yijun, 2017. "Set-valued risk statistics with scenario analysis," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 25-37.
  30. repec:dau:papers:123456789/9738 is not listed on IDEAS
  31. 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.
  32. Carole Bernard & Ludger Rüschendorf & Steven Vanduffel & Ruodu Wang, 2017. "Risk bounds for factor models," Finance and Stochastics, Springer, vol. 21(3), pages 631-659, July.
  33. Cascos Fernández, Ignacio & Molchanov, Ilya, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
  34. Landsman, Zinoviy & Makov, Udi & Shushi, Tomer, 2016. "Multivariate tail conditional expectation for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 216-223.
  35. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "On evaluation of joint risk for non-negative multivariate risks under dependence uncertainty," Papers 2212.04848, arXiv.org, revised Apr 2025.
  36. Ignacio Cascos & Ilya Molchanov, 2013. "Multivariate risk measures: a constructive approach based on selections," Papers 1301.1496, arXiv.org, revised Jul 2016.
  37. Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015. "A Directional Multivariate Value at Risk," Papers 1502.00908, arXiv.org.
  38. repec:dau:papers:123456789/2279 is not listed on IDEAS
  39. Gilles Pag`es & Christian Yeo, 2024. "Convex ordering for stochastic control: the (path dependent) swing contracts case," Papers 2406.07464, arXiv.org, revised Aug 2025.
  40. Rüschendorf Ludger, 2006. "Law invariant convex risk measures for portfolio vectors," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-12, July.
  41. Jinyang Zhang & Linxiao Wei & Yijun Hu, 2023. "Monotone Mean L p -Deviation Risk Measures," Mathematics, MDPI, vol. 11(12), pages 1-11, June.
  42. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  43. Prékopa, András & Lee, Jinwook, 2018. "Risk tomography," European Journal of Operational Research, Elsevier, vol. 265(1), pages 149-168.
  44. Balbás, Alejandro & Jiménez Guerra, Pedro, 2006. "Generalized vector risk functions," DEE - Working Papers. Business Economics. WB wb066721, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  45. Faugeras, Olivier & Rüschendorf, Ludger, 2018. "Risk excess measures induced by hemi-metrics," TSE Working Papers 18-922, Toulouse School of Economics (TSE).
  46. Giuseppe Benedetti & Luciano Campi, 2011. "Multivariate utility maximization with proportional transaction costs and random endowment," Working Papers hal-00586377, HAL.
  47. Huiting Duan & Jinghu Yu & Linxiao Wei, 2024. "Measurement and Forecasting of Systemic Risk: A Vine Copula Grouped-CoES Approach," Mathematics, MDPI, vol. 12(8), pages 1-18, April.
  48. 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.
  49. 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.
  50. repec:hal:spmain:info:hdl:2441/5rkqqmvrn4tl22s9mc4b1h6b4 is not listed on IDEAS
  51. Rüschendorf Ludger, 2025. "Generalized Hoeffding-Fréchet functionals and mass transportation," Dependence Modeling, De Gruyter, vol. 13(1), pages 1-15.
  52. Ekeland Ivar & Schachermayer Walter, 2011. "Law invariant risk measures on L∞ (ℝd)," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 195-225, September.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.