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On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals

Citations

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Cited by:

  1. Xiangyu Wang & Jianming Xia & Zuo Quan Xu & Zhou Yang, 2020. "Minimal Quantile Functions Subject to Stochastic Dominance Constraints," Papers 2008.02420, arXiv.org, revised Aug 2022.
  2. Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
  3. Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
  4. Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
  5. Ghossoub, Mario, 2015. "Vigilant measures of risk and the demand for contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 27-35.
  6. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Risks, MDPI, vol. 1(3), pages 1-29, November.
  7. Tim Leung & Qingshuo Song & Jie Yang, 2013. "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, vol. 17(4), pages 839-870, October.
  8. Micha{l} Barski, 2014. "On the shortfall risk control -- a refinement of the quantile hedging method," Papers 1402.3725, arXiv.org, revised Dec 2015.
  9. Schied, Alexander, 2005. "Optimal investments for risk- and ambiguity-averse preferences: A duality approach," SFB 649 Discussion Papers 2005-051, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  10. Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
  11. Barski Michał, 2016. "On the shortfall risk control: A refinement of the quantile hedging method," Statistics & Risk Modeling, De Gruyter, vol. 32(2), pages 125-141, March.
  12. Volker Kratschmer & Alexander Schied & Henryk Zahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
  13. Felix-Benedikt Liebrich & Cosimo Munari, 2022. "Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity," Mathematics and Financial Economics, Springer, volume 16, number 2, March.
  14. Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.
  15. Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.
  16. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
  17. Rose‐Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634, October.
  18. Burgert Christian & Rüschendorf Ludger, 2005. "Optimal consumption strategies under model uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 1-14, January.
  19. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2015, January-A.
  20. repec:hum:wpaper:sfb649dp2005-025 is not listed on IDEAS
  21. Felix-Benedikt Liebrich & Cosimo Munari, 2021. "Law-invariant functionals that collapse to the mean: Beyond convexity," Papers 2106.01281, arXiv.org, revised Jul 2021.
  22. Erhan Bayraktar & Gu Wang, 2018. "Quantile Hedging in a semi-static market with model uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 197-227, April.
  23. repec:dau:papers:123456789/2317 is not listed on IDEAS
  24. Jianming Xia, 2023. "Benchmark Beating with the Increasing Convex Order," Papers 2311.01692, arXiv.org.
  25. Alexander Schied, 2005. "Optimal Investments for Robust Utility Functionals in Complete Market Models," Mathematics of Operations Research, INFORMS, vol. 30(3), pages 750-764, August.
  26. Schied Alexander & Wu Ching-Tang, 2005. "Duality theory for optimal investments under model uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 23(3), pages 199-217, March.
  27. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
  28. Wayne King Ming Chan, 2015. "RAROC-Based Contingent Claim Valuation," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 21, July-Dece.
  29. Wittmüß, Wiebke, 2006. "Robust optimization of consumption with random endowment," SFB 649 Discussion Papers 2006-063, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  30. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
  31. Schied, Alexander & Wu, Ching-Tang, 2005. "Duality theory for optimal investments under model uncertainty," SFB 649 Discussion Papers 2005-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  32. Burgert, Christian & Ruschendorf, Ludger, 2006. "Consistent risk measures for portfolio vectors," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 289-297, April.
  33. Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-26, July.
  34. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
  35. repec:hum:wpaper:sfb649dp2005-051 is not listed on IDEAS
  36. repec:hum:wpaper:sfb649dp2006-063 is not listed on IDEAS
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