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Comonotonic measures of multivariate risks

Citations

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Cited by:

  1. repec:hal:spmain:info:hdl:2441/7o52iohb7k6srk09mj4in40o4 is not listed on IDEAS
  2. Jaume Belles‐Sampera & Montserrat Guillén & Miguel Santolino, 2014. "Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures," Risk Analysis, John Wiley & Sons, vol. 34(1), pages 121-134, January.
  3. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
  4. Lihua Lei & Roshni Sahoo & Stefan Wager, 2023. "Policy Learning under Biased Sample Selection," Papers 2304.11735, arXiv.org.
  5. 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.
  6. 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.
  7. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Sciences Po publications info:hdl:2441/8pttci1na9q, Sciences Po.
  8. Samuel Solgon Santos & Marcelo Brutti Righi & Eduardo de Oliveira Horta, 2022. "The limitations of comonotonic additive risk measures: a literature review," Papers 2212.13864, arXiv.org, revised Jan 2024.
  9. Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," SciencePo Working papers Main hal-03936221, HAL.
  10. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Post-Print hal-03470461, HAL.
  11. Giulio Principi & Peter P. Wakker & Ruodu Wang, 2023. "Antimonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity," Papers 2307.08542, arXiv.org.
  12. 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.
  13. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1187-1199, July.
  14. Fan, Yanqin & Henry, Marc, 2023. "Vector copulas," Journal of Econometrics, Elsevier, vol. 234(1), pages 128-150.
  15. Guillaume Carlier & Victor Chernozhukov & Alfred Galichon, 2014. "Vector quantile regression," CeMMAP working papers CWP48/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  16. repec:dau:papers:123456789/9738 is not listed on IDEAS
  17. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," Working Papers hal-03588294, HAL.
  18. Kiesel Swen & Rüschendorf Ludger, 2014. "Optimal risk allocation for convex risk functionals in general risk domains," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-31, December.
  19. Grigorova Miryana, 2014. "Stochastic dominance with respect to a capacity and risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-37, December.
  20. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org.
  21. del Barrio, Eustasio & González-Sanz, Alberto & Hallin, Marc, 2020. "A note on the regularity of optimal-transport-based center-outward distribution and quantile functions," Journal of Multivariate Analysis, Elsevier, vol. 180(C).
  22. Sinem Bas & Philippe Bich & Alain Chateauneuf, 2021. "Multidimensional inequalities and generalized quantile functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(2), pages 375-409, March.
  23. Beirlant, J. & Buitendag, S. & del Barrio, E. & Hallin, M. & Kamper, F., 2020. "Center-outward quantiles and the measurement of multivariate risk," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 79-100.
  24. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  25. 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.
  26. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," SciencePo Working papers hal-03588294, HAL.
  27. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," SciencePo Working papers hal-03470461, HAL.
  28. repec:hal:spmain:info:hdl:2441/6rign1j2jd9c69im80po26g4nt is not listed on IDEAS
  29. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," SciencePo Working papers Main hal-03588294, HAL.
  30. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," SciencePo Working papers Main hal-03470461, HAL.
  31. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
  32. repec:hal:spmain:info:hdl:2441/64itsev5509q8aa5mrbhi0g0b6 is not listed on IDEAS
  33. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
  34. repec:hal:spmain:info:hdl:2441/3qnaslliat80pbqa8t90240unj is not listed on IDEAS
  35. Koch-Medina Pablo & Munari Cosimo, 2014. "Law-invariant risk measures: Extension properties and qualitative robustness," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-22, December.
  36. Marc Hallin, 2021. "Measure Transportation and Statistical Decision Theory," Working Papers ECARES 2021-04, ULB -- Universite Libre de Bruxelles.
  37. 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.
  38. Kiesel, Swen & Rüschendorf, Ludger, 2010. "On optimal allocation of risk vectors," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 167-175, October.
  39. 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.
  40. Wang, Ruodu & Zitikis, Ričardas, 2020. "Weak comonotonicity," European Journal of Operational Research, Elsevier, vol. 282(1), pages 386-397.
  41. Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," Working Papers hal-03936221, HAL.
  42. Carlier, Guillaume & Chernozhukov, Victor & Galichon, Alfred, 2017. "Vector quantile regression beyond the specified case," Journal of Multivariate Analysis, Elsevier, vol. 161(C), pages 96-102.
  43. repec:hal:spmain:info:hdl:2441/8pttci1na9qmqnud8j8lvbamu is not listed on IDEAS
  44. Arthur Charpentier & Alfred Galichon & Marc Henry, 2016. "Local Utility and Multivariate Risk Aversion," Mathematics of Operations Research, INFORMS, vol. 41(2), pages 466-476, May.
  45. Alfred Galichon, 2021. "The unreasonable effectiveness of optimal transport in economics," Papers 2107.04700, arXiv.org.
  46. Ekeland Ivar & Schachermayer Walter, 2011. "Law invariant risk measures on L∞ (ℝd)," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 195-225, September.
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