coherent risk measure Latest Research Papers

Robust and Stochastic Optimization With a Hybrid Coherent Risk Measure With an Application to Supervised Learning

IEEE Control Systems Letters ◽

10.1109/lcsys.2020.3007645 ◽

2021 ◽

Vol 5 (3) ◽

pp. 965-970 ◽

Cited By ~ 1

Author(s):

Shutian Liu ◽

Quanyan Zhu

Keyword(s):

Stochastic Optimization ◽

Supervised Learning ◽

Risk Measure ◽

Coherent Risk Measure ◽

Coherent Risk

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Remark on the Paper “Entropic Value-at-Risk: A New Coherent Risk Measure” by Amir Ahmadi-Javid, J. Optim. Theory Appl., 155(3) (2001) 1105–1123

Risk and Stochastics ◽

10.1142/9781786341952_0009 ◽

2019 ◽

pp. 151-158

Author(s):

Freddy Delbaen

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Measure ◽

Coherent Risk Measure ◽

Coherent Risk ◽

Optim Theory

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The Practical Problems with Coherent Risk Measure

SSRN Electronic Journal ◽

10.2139/ssrn.3373063 ◽

2019 ◽

Author(s):

Michael Roberson

Keyword(s):

Risk Measure ◽

Coherent Risk Measure ◽

Coherent Risk

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Portfolio selection based on asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation

Quantitative Finance and Economics ◽

10.3934/qfe.2018.4.776 ◽

2018 ◽

Vol 2 (4) ◽

pp. 776-797 ◽

Cited By ~ 2

Author(s):

Yue Shi ◽

◽

Chi Tim Ng ◽

Ka-Fai Cedric Yiu ◽

◽

...

Keyword(s):

Portfolio Selection ◽

Expectation Maximization ◽

Risk Measure ◽

Laplace Distribution ◽

Coherent Risk Measure ◽

Asymmetric Laplace Distribution ◽

Coherent Risk

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Monotone trends in inventory-price control under time-consistent coherent risk measure

Operations Research Letters ◽

10.1016/j.orl.2017.04.009 ◽

2017 ◽

Vol 45 (3) ◽

pp. 293-299

Author(s):

Jian Yang

Keyword(s):

Risk Measure ◽

Price Control ◽

Coherent Risk Measure ◽

Coherent Risk

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THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

The Pure and Applied Mathematics ◽

10.7468/jksmeb.2016.23.4.377 ◽

2016 ◽

Vol 23 (4) ◽

pp. 377-383

Author(s):

Ju Hong Kim

Keyword(s):

Risk Measure ◽

Coherent Risk Measure ◽

Coherent Risk

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On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Risks ◽

10.3390/risks4030030 ◽

2016 ◽

Vol 4 (3) ◽

pp. 30 ◽

Cited By ~ 2

Author(s):

Hirbod Assa ◽

Manuel Morales ◽

Hassan Omidi Firouzi

Keyword(s):

Risk Measure ◽

Capital Allocation ◽

Allocation Problem ◽

Risk Theory ◽

Coherent Risk Measure ◽

Coherent Risk ◽

Collective Risk

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Short- And Long-Term Value-At-Risk, Skewness, Kurtosis and Coherent Risk Measure

Applied Economics and Finance ◽

10.11114/aef.v3i3.1528 ◽

2016 ◽

Vol 3 (3) ◽

Author(s):

Weiping Li ◽

Guotai Chi ◽

Bin Meng

Keyword(s):

At Risk ◽

Value At Risk ◽

Risk Measure ◽

Coherent Risk Measure ◽

Coherent Risk ◽

Short And Long Term

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Performance ratio-based coherent risk measure and its application

Quantitative Finance ◽

10.1080/14697688.2015.1075059 ◽

2015 ◽

Vol 16 (5) ◽

pp. 681-693 ◽

Cited By ~ 3

Author(s):

Zhiping Chen ◽

Qianhui Hu ◽

Ruiyue Lin

Keyword(s):

Risk Measure ◽

Performance Ratio ◽

Coherent Risk Measure ◽

Coherent Risk

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Allocation of risk capital based on iso-entropic coherent risk measure

Journal of Industrial Engineering and Management ◽

10.3926/jiem.1375 ◽

2015 ◽

Vol 8 (2) ◽

Cited By ~ 1

Author(s):

Chengli Zheng ◽

Yan Chen

Keyword(s):

Risk Measure ◽

Coherent Risk Measure ◽

Risk Capital ◽

Coherent Risk

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coherent risk measure
Recently Published Documents

TOTAL DOCUMENTS

H-INDEX

Robust and Stochastic Optimization With a Hybrid Coherent Risk Measure With an Application to Supervised Learning

Remark on the Paper “Entropic Value-at-Risk: A New Coherent Risk Measure” by Amir Ahmadi-Javid, J. Optim. Theory Appl., 155(3) (2001) 1105–1123

The Practical Problems with Coherent Risk Measure

Portfolio selection based on asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation

Monotone trends in inventory-price control under time-consistent coherent risk measure

THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Short- And Long-Term Value-At-Risk, Skewness, Kurtosis and Coherent Risk Measure

Performance ratio-based coherent risk measure and its application

Allocation of risk capital based on iso-entropic coherent risk measure

Export Citation Format

coherent risk measureRecently Published Documents

TOTAL DOCUMENTS

H-INDEX

Robust and Stochastic Optimization With a Hybrid Coherent Risk Measure With an Application to Supervised Learning

Remark on the Paper “Entropic Value-at-Risk: A New Coherent Risk Measure” by Amir Ahmadi-Javid, J. Optim. Theory Appl., 155(3) (2001) 1105–1123

The Practical Problems with Coherent Risk Measure

Portfolio selection based on asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation

Monotone trends in inventory-price control under time-consistent coherent risk measure

THE MAXIMAL PRIOR SET IN THE REPRESENTATION OF COHERENT RISK MEASURE

On the Capital Allocation Problem for a New Coherent Risk Measure in Collective Risk Theory

Short- And Long-Term Value-At-Risk, Skewness, Kurtosis and Coherent Risk Measure

Performance ratio-based coherent risk measure and its application

Allocation of risk capital based on iso-entropic coherent risk measure

coherent risk measure
Recently Published Documents