Spectral risk measure

A Spectral risk measure is a risk measure given as a weighted average of outcomes where bad outcomes are, typically, included with larger weights. A… (More)
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Topic mentions per year

2006-2017
012320062017

Papers overview

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2017
2017
Due to catastrophic consequences of accidents by hazardous materials (hazmat) transportation, a risk-averse approach for routing… (More)
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2017
2017
Spectral risk measures (SRMs) are risk measures that take account of user riskaversion, but to date there has been little… (More)
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Review
2017
Review
2017
In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q… (More)
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2015
2015
We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk… (More)
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2013
2013
Statistical learning theory provides the justification of the E-insensitive loss in support vector regression, but suggests… (More)
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2013
2013
This paper introduces a new method for modeling risk averse behavior with spectral risk measures. It is shown that recent… (More)
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2006
2006
This paper uses a recently developed two-factor stochastic mortality model to estimate financial risk measures for four… (More)
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