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Highly Cited

2012

Highly Cited

2012

This paper introduces the concept of entropic value-at-risk (EVaR), a new coherent risk measure that corresponds to the tightest… Expand

Highly Cited

2008

Highly Cited

2008

In this paper, we consider the problem to find a market portfolio that minimizes the convex risk measure of the terminal wealth… Expand

Highly Cited

2007

Highly Cited

2007

The paper considers modelling of risk-averse preferences in stochastic programming problems using risk measures. We utilize the… Expand

Highly Cited

2007

Highly Cited

2007

Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other… Expand

Highly Cited

2007

Highly Cited

2007

Abstract We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective… Expand

Highly Cited

2005

Highly Cited

2005

Abstract This article shows that any coherent risk measure is given by a convex combination of expected shortfalls, and an… Expand

Highly Cited

2005

Highly Cited

2005

Abstract.We extend the definition of a convex risk measure to a conditional framework where additional information is available… Expand

Highly Cited

2004

Highly Cited

2004

We consider the problem of determining appropriate solvency capital requirements for an insurance company or a financial… Expand

Highly Cited

2003

Highly Cited

2003

Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of financial positions. The… Expand

Highly Cited

2002

Highly Cited

2002

Abstract. We introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in… Expand