2 search results - page 1 / 1 » Kusuoka representation of higher order dual risk measures |
ANOR
2010
13 years 2 months ago
2010
We derive representations of higher order dual measures of risk in Lp spaces as suprema of integrals of Average Values at Risk with respect to probability measures on (0, 1] (Kusu...
ORL
2008
13 years 4 months ago
2008
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a meanrisk model. We prove that the higher the w...