Name
Abstract | ||
|---|---|---|
With every law invariant coherent risk measure is associated its conditional analogue. In this paper we discuss lower and upper bounds for the corresponding nested (composite) formulations of law invariant coherent risk measures. In particular, we consider the Average Value-at-Risk and comonotonic risk measures. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1016/j.orl.2012.09.002 | Operations Research Letters |
Keywords | Field | DocType |
Risk measures,Law invariant,Coherent,Average Value-at-Risk,Comonotonic | Coherent risk measure,Spectral risk measure,Combinatorics,Invariant (mathematics),Dynamic risk measure,Law,Mathematics,Entropic value at risk | Journal |
Volume | Issue | ISSN |
40 | 6 | 0167-6377 |
Citations | PageRank | References |
4 | 0.47 | 2 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Linwei Xin | 1 | 10 | 1.60 |
| Alexander Shapiro | 2 | 1273 | 147.62 |