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...
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczy...
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...