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This paper introduces the concept of entropic value-at-risk (EVaR), a new coherent risk measure that corresponds to the tightest… Expand In this paper, we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth… Expand The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the… Expand Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other… Expand Abstract We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective… Expand Abstract This article shows that any coherent risk measure is given by a convex combination of expected shortfalls, and an… Expand Abstract.We extend the definition of a convex risk measure to a conditional framework where additional information is available… Expand We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial… Expand Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of financial positions. The… Expand Abstract. We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in… Expand