Generalized deviations in risk analysis

By R. Tyrrell Rockafellar, Stanislav Uryasev, Michael Zabarankin. Finance and Stochastics, 2006

604 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/019d33ed80117fc7d8f0b7f163fb97bbd76116df

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In Management Science and Operations Research

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Citations in the corpus

Optimal reinsurance with general risk measures (2009, neutral): “…(2006), Goovaerts et al. (2004b) and Goovaerts and Laeven (2008) have introduced mixtures of exponentials, Frittelli and Scandolo (2005) have analyzed risk measures for stochastic processes, and Rockafellar et al. (2006) have defined the deviations and the expectation bounded risk measures.”
An enhanced model for portfolio choice with SSD criteria: a constructive approach (2011, methodology): “In the remaining part of this paper we will use the formulation ( 24 ) as it is more economic under our assumptions.”
Dual characterization of properties of risk measures on Orlicz hearts (2008, neutral): “2 in Ruszczyński and Shapiro (2006) that ρ = ρρ# , which can only hold if ρ# is a penalty function on DΨ.”
Generalized Quantiles as Risk Measures (2014, background): “Bellini, F., Rosazza Gianin, E., 2012.”
Equilibrium With Investors Using a Diversity of Deviation Measures (2007, neutral): “For these, and a more technically detailed development, we refer to Rockafellar et al. (2006a).”
Statistical estimation of composite risk functionals and risk optimization problems (2015, background): “Related concepts are introduced in Rockafellar et al. (2006), Föllmer and Schied (2002).”
Convex Approximations of Chance Constrained Programs (2006, background): “Therefore it appears natural to consider “robust” or minimax versions of the chance constrained problems; for results in this direction, see [12, 27, 25, 26, 14] and references therein.”
Optimal Financial Portfolios (2007, neutral): “For example, one can use the class of deviation measures, see Rockafellar et al. (2005) and Rockafellar et al. (2006).”
Higher moment coherent risk measures (2007, methodology): “…et al. (1999), the axiomatic approach to construction of risk measures has been repeatedly employed by many authors for the development of other types of risk measures tailored to specific preferences and applications (see Acerbi 2002, Rockafellar et al. 2006, Ruszczyński and Shapiro 2006).”
Incorporating risk measures in closed-loop supply chain network design (2014, background): “Ruszczynski and Shapiro (2006) and Miller and Ruszczynski (2011), stipulate inefficiencies of risk-neutral approaches.”
A decision-theoretic foundation for reward-to-risk performance measures (2012, background): “…homogeneity, which is an important axiom in most axiomatic systems (see Kijima and Ohnishi, 1993; Pedersen and Satchell, 1998; Artzner et al., 1999; Rockafellar et al., 2006); second, adding a positive constant to an investment fund’s random excess rate of return should not increase the investment…”
Properties of Distortion Risk Measures (2009, background): “Applications of the risk measures to portfolio optimization can be found in Rockafellar and Uryasev (2000) for CVaRα , Ruszczynski and Shapiro (2006) for convex risk measures, Acerbi and Simonetti (2002) for spectral risk measures and Rockafellar et al. (2006b) for deviation risk measures.”
Conditional Risk Mappings (2006, neutral): “If 1 = , then CV@R 2 1 · becomes the Conditional Value at Risk function analyzed in Rockafellar and Uryasev [14] , Rockafellar et al. [16], and Shapiro and Ahmed [18].”