Minimizing Risk Exposure When the Choice of a Risk Measure Is Ambiguous
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DOI: 10.1287/mnsc.2016.2593
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Cited by:
- Silvana Pesenti & Qiuqi Wang & Ruodu Wang, 2020. "Optimizing distortion riskmetrics with distributional uncertainty," Papers 2011.04889, arXiv.org, revised Feb 2022.
- Simon Sølvsten & Brooks Kaiser, 2023. "Do insurers adjust prices for the adoption of loss prevention technologies? Evidence from Danish municipal contracts," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 26(1), pages 57-82, March.
- Liu, Haiyan, 2024. "Worst-case risk with unspecified risk preferences," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 235-248.
- Jonathan Yu-Meng Li, 2021. "Inverse Optimization of Convex Risk Functions," Management Science, INFORMS, vol. 67(11), pages 7113-7141, November.
- Zhanyi Jiao & Steven Kou & Yang Liu & Ruodu Wang, 2022. "An axiomatic theory for anonymized risk sharing," Papers 2208.07533, arXiv.org, revised May 2023.
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Keywords
risk measure; robust optimization; conditional value at risk; preference ambiguity;All these keywords.
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