# Coherent risk measure

## Papers overview

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2012

2012

- 2012

This article proposes a new coherent risk measure called iso-entropic risk measure, which is based on relative entropy under the… (More)

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2009

2009

- 2009

In this paper we indicate a natural generalization of the notion of the coherent risk measure in some partially ordered normed… (More)

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2008

2008

- 2008

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial… (More)

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2007

2007

- 2007

The paper considers modeling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the… (More)

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Highly Cited

2007

Highly Cited

2007

- European Journal of Operational Research
- 2007

We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is… (More)

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Highly Cited

2007

Highly Cited

2007

- Annals OR
- 2007

Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other… (More)

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Highly Cited

2005

Highly Cited

2005

- Finance and Stochastics
- 2005

We extend the definition of a convex risk measure to a conditional framework where additional information is available. We… (More)

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2004

2004

- Proceedings of the Winter Simulation Conference…
- 2004

In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability… (More)

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2003

2003

- European Journal of Operational Research
- 2003

One of the basic problems of applied finance is the optimal selection of stocks, with the aim of maximizing future returns and… (More)

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Highly Cited

1999

Highly Cited

1999

- 1999

The allocation problem stems from the diversification effect observed in risk measurements of financial portfolios: the sum of… (More)

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