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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…
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Related topics
Related topics
20 relations
Acceptance set
Capital asset pricing model
Convex function
Deviation risk measure
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Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2019
2019
Risk-Averse Models in Bilevel Stochastic Linear Programming
J. Burtscheidt
,
M. Claus
,
S. Dempe
SIAM Journal on Optimization
2019
Corpus ID: 119682142
We consider bilevel linear problems, where some parameters are stochastic, and the leader has to decide in a here-and-now fashion…
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2017
2017
Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous
E. Delage
,
Jonathan Yu-Meng Li
Management Sciences
2017
Corpus ID: 8349203
Since the financial crisis of 2007–2009, there has been a renewed interest in quantifying more appropriately the risks involved…
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Highly Cited
2013
Highly Cited
2013
On Solving Multistage Stochastic Programs with Coherent Risk Measures
A. Philpott
,
V. D. Matos
,
E. Finardi
Operational Research
2013
Corpus ID: 5716760
We consider a class of multistage stochastic linear programs in which at each stage a coherent risk measure of future costs is to…
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Highly Cited
2013
Highly Cited
2013
A Chance-Constrained Unit Commitment With an $n-K$ Security Criterion and Significant Wind Generation
David Pozo
,
J. Contreras
IEEE Transactions on Power Systems
2013
Corpus ID: 26001676
This paper presents a new approach for the joint energy and reserves scheduling and unit commitment with n-K reliability…
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2011
2011
A BSDE approach to a risk-based optimal investment of an insurer
R. Elliott
,
T. Siu
at - Automatisierungstechnik
2011
Corpus ID: 34092031
Highly Cited
2011
Highly Cited
2011
Particle Swarm Optimization with Non-Smooth Penalty Reformulation for a Complex Portfolio Selection Problem
M. Corazza
,
G. Fasano
,
R. Gusso
Applied Mathematics and Computation
2011
Corpus ID: 10586838
In the classical model for portfolio selection the risk is measured by the variance of returns. It is well known that, if returns…
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2008
2008
Robust optimization of consumption with random endowment
Wiebke Wittmüß
2008
Corpus ID: 53535735
We consider the problem of optimal consumption for an investor who is risk and uncertainty averse. We model these preferences of…
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Highly Cited
2007
Highly Cited
2007
Higher moment coherent risk measures
P. Krokhmal
2007
Corpus ID: 18521505
The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the…
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2006
2006
Simulation of Coherent Risk Measures Based on Generalized Scenarios
Vadim Lesnevski
,
B. Nelson
,
J. Staum
Management Sciences
2006
Corpus ID: 8682804
In financial risk management, coherent risk measures have been proposed as a way to avoid undesirable properties of measures such…
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Highly Cited
2004
Highly Cited
2004
Coherent and convex monetary risk measures for unbounded càdlàg processes
Patrick Cheridito
,
F. Delbaen
,
Michael Kupper
Finance and Stochastics
2004
Corpus ID: 6577065
Assume that the random future evolution of values is modelled in continuous time. Then, a risk measure can be viewed as a…
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