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…

Papers overview

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2016

2014

This article optimizes stocks portfolio through a new proposed coherent risk measure called relative-entropic risk measure. And…

2012

We propose a method for optimal portfolio selection built on the Black and Litterman model and with two major contributions. We…

2011

We study the problem of diversifying a given initial capital over a finite number of investment funds that follow different…

2009

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

2009

An axiomatic definition of coherent capital allocations is given. It is shown that coherent capital allocations defined by the…

2009

In this paper, we provide further insight into the stock return momentum phenomena by investigating the sources of momentum…

2006

Coherent risk measures based on generalized scenarios can be viewed as estimating the maximum expected value from among a…

2004

The class of polyhedral coherent risk measures that are used in making decisions under uncertainty is investigated. Operations…

2002

The paper deals with the concept of coherent risk measure, in the sense of Artzner, Delbaen, Eber and Heath (1999), but assumes a…