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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. Lihua Lei & Roshni Sahoo & Stefan Wager, 2023. "Policy Learning under Biased Sample Selection," Papers 2304.11735, arXiv.org.
  4. 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.
  5. 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.
  6. Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," SciencePo Working papers Main hal-03936221, HAL.
  7. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
  8. Giulio Principi & Peter P. Wakker & Ruodu Wang, 2023. "Antimonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity," Papers 2307.08542, arXiv.org.
  9. 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.
  10. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1187-1199, July.
  11. Fan, Yanqin & Henry, Marc, 2023. "Vector copulas," Journal of Econometrics, Elsevier, vol. 234(1), pages 128-150.
  12. repec:dau:papers:123456789/9738 is not listed on IDEAS
  13. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," Working Papers hal-03588294, HAL.
  14. 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.
  15. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Risk measurement of joint risk of portfolios: a liquidity shortfall aspect," Papers 2212.04848, arXiv.org.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," SciencePo Working papers hal-03588294, HAL.
  21. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," SciencePo Working papers hal-03470461, HAL.
  22. repec:hal:spmain:info:hdl:2441/6rign1j2jd9c69im80po26g4nt is not listed on IDEAS
  23. Alfred Galichon & Damien Bosc, 2010. "Extreme dependence for multivariate data," SciencePo Working papers Main hal-03588294, HAL.
  24. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," SciencePo Working papers Main hal-03470461, HAL.
  25. repec:hal:spmain:info:hdl:2441/64itsev5509q8aa5mrbhi0g0b6 is not listed on IDEAS
  26. repec:hal:spmain:info:hdl:2441/3qnaslliat80pbqa8t90240unj is not listed on IDEAS
  27. Marc Hallin, 2021. "Measure Transportation and Statistical Decision Theory," Working Papers ECARES 2021-04, ULB -- Universite Libre de Bruxelles.
  28. repec:hal:spmain:info:hdl:2441/8pttci1na9qmqnud8j8lvbamu is not listed on IDEAS
  29. Ekeland Ivar & Schachermayer Walter, 2011. "Law invariant risk measures on L∞ (ℝd)," Statistics & Risk Modeling, De Gruyter, vol. 28(3), pages 195-225, September.
  30. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Sciences Po publications info:hdl:2441/8pttci1na9q, Sciences Po.
  31. 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.
  32. Damien Bosc & Alfred Galichon, 2014. "Extreme dependence for multivariate data," Post-Print hal-03470461, HAL.
  33. 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.
  34. 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).
  35. Beck, Nicholas & Di Bernardino, Elena & Mailhot, Mélina, 2021. "Semi-parametric estimation of multivariate extreme expectiles," Journal of Multivariate Analysis, Elsevier, vol. 184(C).
  36. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
  37. Victor Chernozhukov & Alfred Galichon & Marc Hallin & Marc Henry, 2014. "Monge-Kantorovich Depth, Quantiles, Ranks, and Signs," Papers 1412.8434, arXiv.org, revised Sep 2015.
  38. 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.
  39. 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.
  40. Kiesel, Swen & Rüschendorf, Ludger, 2010. "On optimal allocation of risk vectors," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 167-175, October.
  41. 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.
  42. Wang, Ruodu & Zitikis, Ričardas, 2020. "Weak comonotonicity," European Journal of Operational Research, Elsevier, vol. 282(1), pages 386-397.
  43. Alfred Galichon, 2021. "The Unreasonable Effectiveness of Optimal Transport in Economics," Working Papers hal-03936221, HAL.
  44. 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.
  45. 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.
  46. Alfred Galichon, 2021. "The unreasonable effectiveness of optimal transport in economics," Papers 2107.04700, arXiv.org.
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