Browsing Stochastic Programming Eprint Series (SPEPS) by Subject "risk measures"
Now showing items 14 of 4

20040325BuchOptimization 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 ...

20150916BuchRisk measures for vectorvalued returns Portfolios, which are exposed to different currencies, have separate and different returns ineach individual currency and are thus vectorvalued in a natural way.This paper investigates the natural domain of these risk ...

20150512BuchStatistical 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 ...

20130409BuchThe 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 ...