A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS

By Rose-Anne Dana. 2005

137 citations recorded by the source corpus.

Subfields: Applied Mathematics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1ae18d431eb2c98d7db8106148bc6e2cee49cc51

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In Applied Mathematics

In Management Science and Operations Research

Citations in the corpus

COHERENCE AND ELICITABILITY (2013, background): “Invoking Dana (2005, Lemma 2.2) equation (7) yields ρ(X) ≤ lC(X), hence ρ(X) = lC(X). In the remainder of this section we characterize the law-invariant coherent risk measure lC . As introduced in Newey and Powell (1987), the τ -expectile μτ (X), τ ∈ (0, 1), of a random variable with finite mean is ”
Dual characterization of properties of risk measures on Orlicz hearts (2008, unknown): “The following is an adaption of Theorem 3.1 in Dana (2005) to our setup: Theorem 6.10.”
RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010, result): “This result extends those of Chong and Rice (1971), Kusuoka (2001), Föllmer and Schied (2004), Dana (2005), Frittelli and Rosazza Gianin (2005), and Leitner (2005) from the domain of convex analysis to that of quasiconvex analysis.”
PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009, unknown): “We refer to Dana (2005), to which the proof of Theorem 2.3 is inspired, for references on second-order stochastic dominance.”
Optimal stopping under probability distortion. (2011, background): “In particu(4)Quantile formulation has been introduced and developed in the context of financial portfolio selection involving probability distortion (see [6, 23] and [4] for earlier works).”
On the optimal risk allocation problem (2006, background): “…(2005), Chateauneuf, Dana, and Tallon (2000), Gerber (1979), Landsberger and Meilijson (1994), Denault (2001), Dana and Meilijson (2003), Heath and Ku (2004), Carlier and Dana (2003), Burgert and Rüschendorf (2005), Jouini, Schachermayer, and Touzi (2005), Dana (2005) and references therein.”
The natural Banach space for version independent risk measures (2013, unknown): “[9]) it follows thus that EY · σ (U) ≤ ˆ 1 0 F−1 Y (α)σ (α) dα.”
Law invariant convex risk measures for portfolio vectors (2006, background): “…1 the maximal correlation risk measureŝΨY have an explicit representation as mixtures of quantiles (see (2.14)), which leads to a Kusuoka type representation as in (1.1) and also to a distortion type representation as in (1.4) (see Dana (2005), F̈ollmer and Schied (2004), Carlier and Dana (2003)).”
Risk Measures and Robust Optimization Problems (2006, methodology): “This theory was initiated by P. Artzner, F. Delbaen, J. Eber, and D. Heath in their seminal paper[3] and further developed by Carlier and Dana[11], Delbaen[20,21], Föllmer and the author[33–36], Frittelli and Rosazza Gianin[37,38], Heath[43], Heath and Ku[44], and Kusuoka[53], to mention only a few.”