Law invariant convex risk measures

By Marco Frittelli, Emanuela Rosazza Gianin. 2005

151 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d94866e5f10093ab07053974ce6fa8ab71da7ada

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

1. Andrzej Ruszczynski
2. Darinka Dentcheva †
3. Walter Schachermayer
4. Michael Kupper
5. A. Jobert
6. Nizar Touzi
7. Elyès Jouini
8. L. Rogers

In Finance

1. Andrzej Ruszczynski
2. Darinka Dentcheva †
3. Walter Schachermayer
4. Nizar Touzi
5. Michael Kupper
6. A. Jobert
7. Elyès Jouini
8. L. Rogers

In Management Science and Operations Research

1. Darinka Dentcheva †
2. Andrzej Ruszczynski
3. Walter Schachermayer
4. Spiridon I. Penev
5. Michael Kupper
6. A. Jobert
7. Nizar Touzi
8. Elyès Jouini

Citations in the corpus

• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, background): “The recursion (3.5) is now just the Bellman equation of dynamic programming, and the value of πx(K) is the “worst stopping” value of the Markov decision process, where α(x) 15 See also proposition 2.8 of Frittelli and Scandolo (2006) for a similar result. gives the distribution of moves down to x + ”
• Representation results for law invariant time consistent functions (2009, background): “We here are mainly interested in law invariant risk measures which are studied for instance in Kusuoka [18], Frittelli and Rosazza Gianin [12] and Jouini et al.”
• 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), F˜ollmer and Schied (2004), Frittelli and Rosazza Gianin (2005) , Jouini et al. (2005), Leitner (2005), Dana (2005), or Jouini et al. (2006).”
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008, background): “An interesting characterization of law-invariant monetary utility functions, obtained by Kusuoka [32] and further extended in [22] and [29] (Theorem 2.”
• Statistical estimation of composite risk functionals and risk optimization problems (2015, methodology): “This result is extended to the setting of Lp spaces with p ∈ [1,∞); see [13], [26], [27], [35], [Dentcheva et al.”
• RISK MEASURES ON ORLICZ HEARTS (2009, unknown): “Kusuoka (2001), F˜ollmer and Schied (2002a, 2002b, 2004), Frittelli and Rosazza Gianin (2002, 2005) , Kr˜atschmer (2005), Jouini et al. (2006).”