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Generalized deviations in risk analysis

Citations

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Cited by:

  1. Massimiliano Amarante, 2016. "A representation of risk measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 95-103, April.
  2. Righi, Marcelo Brutti & Müller, Fernanda Maria & Moresco, Marlon Ruoso, 2020. "On a robust risk measurement approach for capital determination errors minimization," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 199-211.
  3. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
  4. Barbara Glensk & Reinhard Madlener, 2018. "Fuzzy Portfolio Optimization of Power Generation Assets," Energies, MDPI, vol. 11(11), pages 1-22, November.
  5. Horikawa, Hiroaki & Nakagawa, Kei, 2024. "Relationship between deep hedging and delta hedging: Leveraging a statistical arbitrage strategy," Finance Research Letters, Elsevier, vol. 62(PA).
  6. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
  7. A. Ahmadi-Javid, 2012. "Entropic Value-at-Risk: A New Coherent Risk Measure," Journal of Optimization Theory and Applications, Springer, vol. 155(3), pages 1105-1123, December.
  8. Dimitrios G. Konstantinides & Georgios C. Zachos, 2019. "Exhibiting Abnormal Returns Under a Risk Averse Strategy," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 551-566, June.
  9. Ruodu Wang & Johanna F. Ziegel, 2018. "Scenario-based Risk Evaluation," Papers 1808.07339, arXiv.org, revised May 2021.
  10. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
  11. Rockafellar, R. Tyrrell & Uryasev, Stan & Zabarankin, M., 2007. "Equilibrium with investors using a diversity of deviation measures," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3251-3268, November.
  12. Stanislaus Maier-Paape & Qiji Jim Zhu, 2018. "A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures," Risks, MDPI, vol. 6(3), pages 1-31, August.
  13. Martin Branda, 2016. "Mean-value at risk portfolio efficiency: approaches based on data envelopment analysis models with negative data and their empirical behaviour," 4OR, Springer, vol. 14(1), pages 77-99, March.
  14. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  15. Björn Häckel, 2010. "Risikoadjustierte Wertbeiträge zur ex ante Entscheidungsunterstützung: Ein axiomatischer Ansatz," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 21(1), pages 81-108, June.
  16. Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2017. "On the impact of conditional expectation estimators in portfolio theory," Computational Management Science, Springer, vol. 14(4), pages 535-557, October.
  17. Balbás, Beatriz & Balbás, Raquel, 2018. "Golden options in financial mathematics," IC3JM - Estudios = Working Papers 27672, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  18. Jun-ya Gotoh & Michael Jong Kim & Andrew E. B. Lim, 2020. "Worst-case sensitivity," Papers 2010.10794, arXiv.org.
  19. Hirbod Assa & Nikolay Gospodinov, 2018. "Market consistent valuations with financial imperfection," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(1), pages 65-90, May.
  20. Thai Chuong, 2013. "Newton-like methods for efficient solutions in vector optimization," Computational Optimization and Applications, Springer, vol. 54(3), pages 495-516, April.
  21. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
  22. 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, December.
  23. Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
  24. Lisa R. Goldberg & Ola Mahmoud, 2014. "Drawdown: From Practice to Theory and Back Again," Papers 1404.7493, arXiv.org, revised Sep 2016.
  25. Bogdan Grechuk & Michael Zabarankin, 2017. "Synergy effect of cooperative investment," Annals of Operations Research, Springer, vol. 249(1), pages 409-431, February.
  26. Ruodu Wang & Yunran Wei, 2020. "Risk functionals with convex level sets," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1337-1367, October.
  27. Balbás, Beatriz & Balbás, Raquel & Rodríguez de las Heras Pérez, Antonio, 2014. "Optimal reinsurance under risk and uncertainty," IC3JM - Estudios = Working Papers id-14-04, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  28. Grechuk, Bogdan, 2015. "The center of a convex set and capital allocation," European Journal of Operational Research, Elsevier, vol. 243(2), pages 628-636.
  29. Trindade, A. Alexandre & Uryasev, Stan & Shapiro, Alexander & Zrazhevsky, Grigory, 2007. "Financial prediction with constrained tail risk," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3524-3538, November.
  30. Adil Rengim Cetingoz & Jean-David Fermanian & Olivier Gu'eant, 2022. "Risk Budgeting Portfolios: Existence and Computation," Papers 2211.07212, arXiv.org, revised Sep 2023.
  31. Balbás, Alejandro & Serna, Gregorio, 2024. "Selling options to beat the market: Further empirical evidence," Research in International Business and Finance, Elsevier, vol. 67(PB).
  32. Eskandarzadeh, Saman & Eshghi, Kourosh, 2013. "Decision tree analysis for a risk averse decision maker: CVaR Criterion," European Journal of Operational Research, Elsevier, vol. 231(1), pages 131-140.
  33. Engsner, Hampus & Lindskog, Filip & Thøgersen, Julie, 2023. "Multiple-prior valuation of cash flows subject to capital requirements," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 41-56.
  34. Marina Resta, 2016. "VaRSOM: A Tool to Monitor Markets' Stability Based on Value at Risk and Self‐Organizing Maps," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 47-64, January.
  35. Jean-Gabriel Lauzier & Liyuan Lin & Ruodu Wang, 2023. "Risk sharing, measuring variability, and distortion riskmetrics," Papers 2302.04034, arXiv.org.
  36. Hirbod Assa & Keivan Mallahi Karai, 2013. "Hedging, Pareto Optimality, and Good Deals," Journal of Optimization Theory and Applications, Springer, vol. 157(3), pages 900-917, June.
  37. David B. Brown & Enrico G. De Giorgi & Melvyn Sim, 2009. "A Satisficing Alternative to Prospect Theory," University of St. Gallen Department of Economics working paper series 2009 2009-09, Department of Economics, University of St. Gallen.
  38. Behnam Malakooti & Mohamed Komaki & Camelia Al-Najjar, 2021. "Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad," Decision Analysis, INFORMS, vol. 18(1), pages 41-77, March.
  39. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
  40. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
  41. Patrick Krieger & Carsten Lausberg, 2021. "Entscheidungen, Entscheidungsfindung und Entscheidungsunterstützung in der Immobilienwirtschaft: Eine systematische Literaturübersicht [Decisions, decision-making and decisions support systems in r," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 7(1), pages 1-33, April.
  42. Mohammed Berkhouch & Fernanda Maria Müller & Ghizlane Lakhnati & Marcelo Brutti Righi, 2022. "Deviation-Based Model Risk Measures," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 527-547, February.
  43. Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
  44. Xia Han & Ruodu Wang & Xun Yu Zhou, 2022. "Choquet regularization for reinforcement learning," Papers 2208.08497, arXiv.org.
  45. José Garrido & Ramin Okhrati, 2018. "Desirable Portfolios in Fixed Income Markets: Application to Credit Risk Premiums," Risks, MDPI, vol. 6(1), pages 1-21, March.
  46. Acciaio Beatrice & Svindland Gregor, 2013. "Are law-invariant risk functions concave on distributions?," Dependence Modeling, De Gruyter, vol. 1(2013), pages 54-64, December.
  47. Gilles Boevi Koumou & Georges Dionne, 2022. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Risks, MDPI, vol. 10(11), pages 1-19, October.
  48. Iosif Pinelis, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," Papers 1310.6025, arXiv.org.
  49. Branda, Martin, 2013. "Diversification-consistent data envelopment analysis with general deviation measures," European Journal of Operational Research, Elsevier, vol. 226(3), pages 626-635.
  50. Marcelo Brutti Righi, 2017. "Closed spaces induced by deviation measures," Economics Bulletin, AccessEcon, vol. 37(3), pages 1781-1784.
  51. Jiménez Guerra, Pedro, 2006. "Generalized vector risk functions," DEE - Working Papers. Business Economics. WB wb066721, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  52. Mario Ghossoub & Giulio Principi & Ruodu Wang, 2024. "Allocation Mechanisms in Decentralized Exchange Markets with Frictions," Papers 2404.10900, arXiv.org.
  53. Balbás, Beatriz & Heras, Antonio, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  54. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.
  55. Yi Shen & Zachary Van Oosten & Ruodu Wang, 2024. "Partial Law Invariance and Risk Measures," Papers 2401.17265, arXiv.org, revised Jun 2024.
  56. Pitselis, Georgios, 2016. "Credible risk measures with applications in actuarial sciences and finance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 373-386.
  57. Marcelo Brutti Righi & Marlon Ruoso Moresco, 2024. "Inf-convolution and optimal risk sharing with countable sets of risk measures," Annals of Operations Research, Springer, vol. 336(1), pages 829-860, May.
  58. Felix-Benedikt Liebrich & Gregor Svindland, 2017. "Model Spaces for Risk Measures," Papers 1703.01137, arXiv.org, revised Nov 2017.
  59. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Ortobelli, Sergio & Fabozzi, Frank J., 2008. "Relative deviation metrics and the problem of strategy replication," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 199-206, February.
  60. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
  61. repec:cte:idrepe:23546 is not listed on IDEAS
  62. Magdalena Santos-Rodriguez, M. & Flores-Tlacuahuac, Antonio & Zavala, Victor M., 2017. "A stochastic optimization approach for the design of organic fluid mixtures for low-temperature heat recovery," Applied Energy, Elsevier, vol. 198(C), pages 145-159.
  63. Kong, Dezhou & Liu, Lishan & Wu, Yonghong, 2018. "Optimal reinsurance under risk and uncertainty on Orlicz hearts," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 108-116.
  64. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2010. "Kusuoka representation of higher order dual risk measures," Annals of Operations Research, Springer, vol. 181(1), pages 325-335, December.
  65. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
  66. López-Díaz, Miguel & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2012. "On the Lp-metric between a probability distribution and its distortion," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 257-264.
  67. Liebrich, Felix-Benedikt & Svindland, Gregor, 2017. "Model spaces for risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 150-165.
  68. Fracasso, Laís Martins & Müller, Fernanda Maria & Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2023. "Is there a risk premium? Evidence from thirteen measures," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 182-199.
  69. Jui‐Cheng Hung & Hung‐Chun Liu & J. Jimmy Yang, 2023. "Does the tail risk index matter in forecasting downside risk?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3451-3466, July.
  70. Ruiyue Lin & Zhiping Chen & Qianhui Hu & Zongxin Li, 2017. "Dynamic network DEA approach with diversification to multi-period performance evaluation of funds," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(3), pages 821-860, July.
  71. Charron, Jean Philippe, 2016. "The newsvendor problem with convex risk," IC3JM - Estudios = Working Papers 23950, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  72. Pinelis, Iosif, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," MPRA Paper 51361, University Library of Munich, Germany.
  73. Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, 2014. "A two-parameter model of dispersion aversion," Journal of Economic Theory, Elsevier, vol. 150(C), pages 611-641.
  74. Balbás, Beatriz & Balbás, Raquel, 2016. "Must an optimal buy and hold strategy contain any derivative?," IC3JM - Estudios = Working Papers 23912, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  75. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio, 2015. "Optimal reinsurance under risk and uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 61-74.
  76. Francesco Cesarone & Massimiliano Corradini & Lorenzo Lampariello & Jessica Riccioni, 2023. "A new behavioral model for portfolio selection using the Half-Full/Half-Empty approach," Papers 2312.10749, arXiv.org.
  77. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
  78. Xiaoqing Liang & Ruodu Wang & Virginia Young, 2021. "Optimal Insurance to Maximize RDEU Under a Distortion-Deviation Premium Principle," Papers 2107.02656, arXiv.org, revised Feb 2022.
  79. Branda, Martin, 2015. "Diversification-consistent data envelopment analysis based on directional-distance measures," Omega, Elsevier, vol. 52(C), pages 65-76.
  80. Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
  81. Hu, Taizhong & Chen, Ouxiang, 2020. "On a family of coherent measures of variability," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 173-182.
  82. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
  83. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
  84. Balbás, Raquel, 2009. "Compatibility between pricing rules and risk measures: the CCVaR," DEE - Working Papers. Business Economics. WB wb090201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  85. Righi, Marcelo Brutti, 2024. "Star-shaped acceptability indexes," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.
  86. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
  87. Bellini, Fabio & Fadina, Tolulope & Wang, Ruodu & Wei, Yunran, 2022. "Parametric measures of variability induced by risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 270-284.
  88. Marlon Moresco & Marcelo Righi & Eduardo Horta, 2020. "Minkowski gauges and deviation measures," Papers 2007.01414, arXiv.org, revised Jul 2021.
  89. Liu, Fangda & Cai, Jun & Lemieux, Christiane & Wang, Ruodu, 2020. "Convex risk functionals: Representation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 66-79.
  90. Bogdan Grechuk & Andrzej Palczewski & Jan Palczewski, 2018. "On the solution uniqueness in portfolio optimization and risk analysis," Papers 1810.11299, arXiv.org, revised Oct 2020.
  91. Eskandarzadeh, Saman & Eshghi, Kourosh & Bahramgiri, Mohsen, 2016. "Risk shaping in production planning problem with pricing under random yield," European Journal of Operational Research, Elsevier, vol. 253(1), pages 108-120.
  92. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  93. David B. Brown & Enrico De Giorgi & Melvyn Sim, 2012. "Aspirational Preferences and Their Representation by Risk Measures," Management Science, INFORMS, vol. 58(11), pages 2095-2113, November.
  94. Alejandro Balbás & Iván Blanco & José Garrido, 2014. "Measuring Risk When Expected Losses Are Unbounded," Risks, MDPI, vol. 2(4), pages 1-14, September.
  95. repec:cte:idrepe:id-13-01 is not listed on IDEAS
  96. Cillo, Alessandra & Delquié, Philippe, 2014. "Mean-risk analysis with enhanced behavioral content," European Journal of Operational Research, Elsevier, vol. 239(3), pages 764-775.
  97. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
  98. Pierpaolo Angelini & Fabrizio Maturo, 2020. "Non-Parametric Probability Distributions Embedded Inside of a Linear Space Provided with a Quadratic Metric," Mathematics, MDPI, vol. 8(11), pages 1-17, October.
  99. Xia Han & Liyuan Lin & Ruodu Wang, 2022. "Diversification quotients: Quantifying diversification via risk measures," Papers 2206.13679, arXiv.org, revised Jul 2024.
  100. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
  101. Mena, Rodrigo & Hennebel, Martin & Li, Yan-Fu & Zio, Enrico, 2016. "A multi-objective optimization framework for risk-controlled integration of renewable generation into electric power systems," Energy, Elsevier, vol. 106(C), pages 712-727.
  102. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  103. R. Tyrrell Rockafellar & Johannes O. Royset, 2018. "Superquantile/CVaR risk measures: second-order theory," Annals of Operations Research, Springer, vol. 262(1), pages 3-28, March.
  104. Doron Nisani, 2023. "On the General Deviation Measure and the Gini coefficient," International Journal of Economic Theory, The International Society for Economic Theory, vol. 19(3), pages 599-610, September.
  105. Hirbod Assa, 2015. "Trade-off Between Robust Risk Measurement and Market Principles," Journal of Optimization Theory and Applications, Springer, vol. 166(1), pages 306-320, July.
  106. Wei Liu & Li Yang & Bo Yu, 2021. "KDE distributionally robust portfolio optimization with higher moment coherent risk," Annals of Operations Research, Springer, vol. 307(1), pages 363-397, December.
  107. Grechuk, Bogdan & Zabarankin, Michael, 2016. "Inverse portfolio problem with coherent risk measures," European Journal of Operational Research, Elsevier, vol. 249(2), pages 740-750.
  108. Bogdan Grechuk & Michael Zabarankin, 2012. "Optimal risk sharing with general deviation measures," Annals of Operations Research, Springer, vol. 200(1), pages 9-21, November.
  109. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
  110. Xia Han & Bin Wang & Ruodu Wang & Qinyu Wu, 2021. "Risk Concentration and the Mean-Expected Shortfall Criterion," Papers 2108.05066, arXiv.org, revised Apr 2022.
  111. Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
  112. Fu, Tianwen & Zhuang, Xinkai & Hui, Yongchang & Liu, Jia, 2017. "Convex risk measures based on generalized lower deviation and their applications," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 27-37.
  113. Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
  114. Furman, Edward & Wang, Ruodu & Zitikis, Ričardas, 2017. "Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 70-84.
  115. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2018. "Extended Gini-Type Measures of Risk and Variability," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 295-314, May.
  116. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  117. Liu, Peng & Wang, Ruodu & Wei, Linxiao, 2020. "Is the inf-convolution of law-invariant preferences law-invariant?," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 144-154.
  118. Robert G. Chambers & Margarita Genius & Vangelis Tzouvelekas, 2021. "Invariant Risk Preferences and Supply Response under Price Risk," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(5), pages 1802-1819, October.
  119. Balbás, Raquel, 2006. "Optimizing Measures of Risk: A Simplex-like Algorithm," DEE - Working Papers. Business Economics. WB 6534, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  120. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
  121. Schoch, Daniel, 2017. "Generalised mean-risk preferences," Journal of Economic Theory, Elsevier, vol. 168(C), pages 12-26.
  122. Jacob Dorn & Kevin Guo & Nathan Kallus, 2021. "Doubly-Valid/Doubly-Sharp Sensitivity Analysis for Causal Inference with Unmeasured Confounding," Papers 2112.11449, arXiv.org, revised Jul 2022.
  123. Benati, S. & Conde, E., 2022. "A relative robust approach on expected returns with bounded CVaR for portfolio selection," European Journal of Operational Research, Elsevier, vol. 296(1), pages 332-352.
  124. Ruodu Wang & Yunran Wei & Gordon E. Willmot, 2020. "Characterization, Robustness, and Aggregation of Signed Choquet Integrals," Mathematics of Operations Research, INFORMS, vol. 45(3), pages 993-1015, August.
  125. Kovacevic Raimund M., 2012. "Conditional risk and acceptability mappings as Banach-lattice valued mappings," Statistics & Risk Modeling, De Gruyter, vol. 29(1), pages 1-18, March.
  126. R. Tyrrell Rockafellar & Stan Uryasev & Michael Zabarankin, 2008. "Risk Tuning with Generalized Linear Regression," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 712-729, August.
  127. Sordo, Miguel A., 2008. "Characterizations of classes of risk measures by dispersive orders," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1028-1034, June.
  128. Guangyan Jia & Mengjin Zhao, 2022. "On the Correspondence and the Risk Contribution for Conditional Coherent and Deviation Risk Measures," Papers 2208.13336, arXiv.org, revised Feb 2023.
  129. Laurent Gardes & Stéphane Girard, 2021. "On the estimation of the variability in the distribution tail," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(4), pages 884-907, December.
  130. Silvana Pesenti & Qiuqi Wang & Ruodu Wang, 2020. "Optimizing distortion riskmetrics with distributional uncertainty," Papers 2011.04889, arXiv.org, revised Feb 2022.
  131. R. Tyrrell Rockafellar, 2024. "Distributional robustness, stochastic divergences, and the quadrangle of risk," Computational Management Science, Springer, vol. 21(1), pages 1-30, June.
  132. Alejandro Balbas & Beatriz Balbas & Raquel Balbas, 2013. "Optimal Reinsurance: A Risk Sharing Approach," Risks, MDPI, vol. 1(2), pages 1-12, August.
  133. repec:cte:idrepe:23950 is not listed on IDEAS
  134. Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
  135. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
  136. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
  137. Nemirovski, Arkadi, 2012. "On safe tractable approximations of chance constraints," European Journal of Operational Research, Elsevier, vol. 219(3), pages 707-718.
  138. Garrido, José & Okhrati, Ramin, 2016. "Good deal measurement in asset pricing: Actuarial and financial implications," IC3JM - Estudios = Working Papers 23546, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
  139. Ruodu Wang & Johanna F. Ziegel, 2021. "Scenario-based risk evaluation," Finance and Stochastics, Springer, vol. 25(4), pages 725-756, October.
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