COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
By Berend Roorda, Johannes M. Schumacher, Jacob Christiaan Engwerda. 2005
149 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/4b15b697ceeb89801ec6ba87bd93ca5ca249d037
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Irina Penner
- Alexander S. Cherny
- Martin Schweizer
- D. Heath
- Marco Pavone
- Giacomo Scandolo
- Susanne Klöppel
- Beatrice Acciaio
In Finance
- Irina Penner
- Beatrice Acciaio
- Martin Schweizer
- D. Heath
- Susanne Klöppel
- Freddy Delbaen
- Alexander S. Cherny
- Marco Pavone
In Management Science and Operations Research
- Irina Penner
- Jocelyne Bion-Nadal
- Martin Schweizer
- Beatrice Acciaio
- Alexander S. Cherny
- Freddy Delbaen
- Susanne Klöppel
- Giacomo Scandolo
Citations in the corpus
- Dynamic risk measures (2010, background): “In the dynamical setting, such robust representations of conditional coherent risk measures were obtained on a finite probability space in [31] for random variables and in [30] for stochastic processes.”
- How Should a Robot Assess Risk? Towards an Axiomatic Theory of Risk in Robotics (2017, background): “…they are favorable under any realization of the underlying uncertainty (we discuss an example of this below), or (3) declaring a decision-making problem to be feasible (e.g., satisfying a certain risk threshold) when in fact it is infeasible under any possible realization of the uncertainties [25].”
- Coherent multiperiod risk adjusted values and Bellman’s principle (2007, background): “The notion goes back to Wang (1996, 1999), and we present it more generally, in terms of random (stopping) times and test probabilities. The following theorem identifies stability with time consistency for value processes. It is related to decision theory with multipriors, see again Epstein and Schn”
- Pricing with Coherent Risk (2006, methodology): “Currently, one of the major tasks is the problem of proper risk measurement in the dynamic setting; see, in particular, [12], [25], [36], [45], and [46].”
- Conditional and dynamic convex risk measures (2005, background): “[12] and Riedel [11] and it is actually equivalent to time consistency.”
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007, background): “In the coherent case, things become simpler; see for instance Riedel (2004), Roorda, Schumacher, and Engwerda (2005) or Artzner, Delbaen, Eber, Heath and Ku (2007).”