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Coherent risk measure
Known as:
Convex risk measure
In the fields of Actuarial Science and financial economics there are a number of ways that risk can be defined; to clarify the concept theoreticians…
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Related topics
Related topics
20 relations
Acceptance set
Capital asset pricing model
Convex function
Deviation risk measure
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2019
2019
Risk-Averse Models in Bilevel Stochastic Linear Programming
J. Burtscheidt
,
M. Claus
,
S. Dempe
SIAM Journal on Optimization
2019
Corpus ID: 119682142
We consider bilevel linear problems, where some parameters are stochastic, and the leader has to decide in a here-and-now fashion…
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2012
2012
A BSDE approach to risk-based asset allocation of pension funds with regime switching
T. Siu
Annals of Operations Research
2012
Corpus ID: 26688539
An asset allocation problem of a member of a defined contribution (DC) pension fund is discussed in a hidden, Markov regime…
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2009
2009
Generalized Coherent Risk Measures
Christos E. Kountzakis
2009
Corpus ID: 53373842
In this paper we indicate a natural generalization of the notion of the coherent risk measure in some partially ordered normed…
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2009
2009
An axiomatic characterization of capital allocations of coherent risk measures
M. Kalkbrener
2009
Corpus ID: 53685505
An axiomatic definition of coherent capital allocations is given. It is shown that coherent capital allocations defined by the…
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2009
2009
Analysis of the factors influencing momentum profits
Almira Biglova
,
S. Rachev
,
Stoyan Stoyanov
,
S. O. Lozza
2009
Corpus ID: 22486664
In this paper, we provide further insight into the stock return momentum phenomena by investigating the sources of momentum…
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2008
2008
Robust optimization of consumption with random endowment
Wiebke Wittmüß
2008
Corpus ID: 53535735
We consider the problem of optimal consumption for an investor who is risk and uncertainty averse. We model these preferences of…
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2007
2007
Konsistente und konsequente dynamische Risikomaße und das Problem der Aktualisierung
Sina Tutsch
2007
Corpus ID: 153934228
This thesis is a contribution to the theory convex risk measures and their dynamics. In chapter 1 we consider unconditional…
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2006
2006
An Adaptive Procedure for Estimating Coherent Risk Measures Based on Generalized Scenarios
Vadim Lesnevski
,
B. Nelson
,
J. Staum
Proceedings of the Winter Simulation Conference
2006
Corpus ID: 14115882
Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a…
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Review
2003
Review
2003
Exploring the Limitations of Value at Risk: How Good Is It in Practice?
Andreas Krause
2003
Corpus ID: 53526111
The benefits of value at risk (VaR) are its simplicity and broad applicability. However, the limitations of VaR are only just…
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2002
2002
Coherent risk measures in a dynamic framework
Alejandro Balb
,
Silvia Mayoral
2002
Corpus ID: 62816911
The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber and Heath (1999), but assumes a…
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