Dynamic Coherent Risk Measures

By Frank Riedel. 2004

461 citations recorded by the source corpus.

Subfields: General Decision Sciences, Management Science and Operations Research, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/dd18f7612e7d6eef419d19bc92207c28a86d1092

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Citations in the corpus

Lectures on Stochastic Programming: Modeling and Theory (2009, methodology): “The theory of conditional risk mappings was initiated by Scandolo [230] and further developed by Riedel [203], Detlefsen and Scandolo [67], Ruszczyński and Shapiro [224, 225].”
RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006, background): “Riedel (2004) and Weber (2006) propose, as a part of the definition of a dynamic risk measure, a common definition of translation invariance for the risk measurement at time t0.”
Time-Inconsistency of VaR and Time-Consistent Alternatives (2007, unknown): “In the context of risk measurement time-consistency has been investigated among others, by Riedel (2004), Barrieu and El Karoui (2004), Detlefsen and Scandolo (2005), Cheridito et al. (2006), Delbaen (2006), Weber (2006), Artzner et al. (2007).”
Conditional and dynamic convex risk measures (2005, background): “2 Similar general definitions of dynamic (maybe convex or coherent) risk measures appear in [26], [22], [27], [10], [17] and [6].”
Coherent multiperiod risk adjusted values and Bellman’s principle (2007, background): “With our sign convention the risk-adjusted measurement of cash-flow streams in Riedel (2004) would appear as”
On Complexity of Stochastic Programming Problems (2005, methodology): “We may refer to [2, 18, 32, 35] for extensions of this approach to a multi-stage setting.”
Continuous-time dynamic risk measures by backward stochastic Volterra integral equations (2007, methodology): “Our notions of continuous-time dynamic convex/coherent risk measures introduced earlier are natural generalizations of those in [4] and [11], as well as of those in [1] and [5].”
Pricing with Coherent Risk (2006, background): “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].”
Optimal Stopping With Multiple Priors (2009, background): “It has been shown (see Riedel (2004), more generally Delbaen (2002b), Theorem 6.2. and 8.2.) that under Assumption 2.3 Q is time–consistent if and only if we have for all bounded random variables Z the following version of the law of iterated expectations15 ess inf P∈Q EP [Z|Ft] = ess inf P∈Q EP…”
COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005, unknown): “…there is freedom in portfolio rebalancings so that any 3 Terminology differs across papers: Epstein and Schneider (2003) use the term “rectangular,” Artzner et al. (2003) speak of “multiplicative stability,” and Riedel (2003) just uses “consistency.” investments in riskless assets can be undone.”
Conditional Risk Mappings (2006, methodology): “Our approach, as well as that of Riedel [13], is different from the method of Artzner et al.”
CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (2007, background): “…several authors such as Cvitanic and Karatzas (1999), Wang (1999), Artzner et al. (2004), Cheridito, Delbaen, and Kupper (2004), Frittelli and Rosazza Gianin (2004), Riedel (2004), Frittelli and Scandolo (2006), Cheridito, Delbaen, and Kupper (2006), Weber (2006), and Kloeppel and Schweizer (2006).”
VALUATIONS AND DYNAMIC CONVEX RISK MEASURES (2007, methodology): “3 See [2, 20, 13, 1, 21, 12, 11, 27, 14, 22, 24, 9] for one-period risk-measurement, [3] for the multiperiod extension of [2], [34, 6, 10, 31] for a particular class of dynamic risk measures (the multiperiod behaviour addressed by the latter papers is somehow less general than the one considered by ”
Time consistent dynamic risk processes (2009, unknown): “Convex dynamic risk measures have been the subject of recent works; see Riedel [26], Frittelli and Rosazza Gianin [18], Klöppel and Schweizer [20], Cheredito et al. [7], Bion-Nadal [5] and Föllmer and Penner [16].”
Convex risk measures and the dynamics of their penalty functions (2006, background): “for stochastic processes instead of random variables, as it is done in [18], [6].”