A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES

By Johannes Leitner. 2005

63 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9440f235c33e684220e095ffb7ae8c805cd0f51c

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Citations in the corpus

Risk-averse dynamic programming for Markov decision processes (2010, background): “Particularly relevant for us are the duality theory [1, 10, 14, 16, 17, 34, 43, 45, 46], and the theory of conditional and dynamic risk measures [2, 8, 11, 15, 18, 19, 28, 38, 48, 40, 45, 47].”
Risk measurement with equivalent utility principles (2006, unknown): “See also Leitner (2005) for related results.”
A new integral for capacities (2009, unknown): “Leitner (2005) showed that Kusuoka’s representation actually characterizes all coherent risk measures that are monotonic with second-order stochastic dominance.”
Dual characterization of properties of risk measures on Orlicz hearts (2008, unknown): “It has been noted before that AVaR can be used as a building block to construct other risk measures; see for instance, Kusuoka (2001), Acerbi (2002, 2004), Föllmer and Schied (2004), Frittelli and Rosazza Gianin (2005), Jouini et al. (2005), Leitner (2005), Dana (2005), or Jouini et al. (2006).”
Stochastic dominance analysis of Asian hedge funds (2008, background): “However, Ogryczak and Ruszczynski (2002), Leitner (2005) and Ma and Wong (2006) noted that stochastic dominance (SD) approach is superior as whatever information obtained by applying VaR and CVaR could be obtained by the SD approach.”
Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach (2010, unknown): “For example, it is well known that the finding from FSD is equivalent to that from VaR, and the finding from SSD is equivalent to that from CVaR (Ogryczak and Ruszczynski, 2002; Leitner, 2005; Ma and Wong, 2006).”
Lectures on Stochastic Programming: Modeling and Theory (2009, background): “The theory of coherent measures of risk was initiated in Artzner, Delbaen, Eber and Heath [8] and further developed, inter alia, by Delbaen [51], Föllmer and Schied [80], Leitner [143], Rockafellar, Uryasev and Zabarankin [214].”
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.”