Auflistung Stochastic Programming E-print Series (SPEPS) nach Schlagwort "risk measures"
Anzeige der Publikationen 1-4 von 4
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2004-03-25BuchOptimization of Convex Risk Functions We consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk ...
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2015-09-16BuchRisk measures for vector-valued returns Portfolios, which are exposed to different currencies, have separate and different returns ineach individual currency and are thus vector-valued in a natural way.This paper investigates the natural domain of these risk ...
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2015-05-12BuchStatistical Estimation of Composite Risk Functionals and Risk Optimization Problems We address the statistical estimation of composite functionals whichmay be nonlinear in the probability measure. Our study is motivated bythe need to estimate coherent measures of risk, which become increasinglypopular in ...
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2013-04-09BuchThe Natural Banach Space for Version Independent Risk Measures Risk measures, or coherent measures of risk are often considered on the space $L^\infty$, andimportant theorems on risk measures build on that space. Other risk measures, among themthe most important risk measure – the ...