90 search results - page 1 / 18 » Simulation of Coherent Risk Measures |
WSC
2004
13 years 6 months ago
2004
In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and ...
EOR
2007
13 years 4 months ago
2007
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent r...
ISIPTA
2005
IEEE
13 years 10 months ago
2005
IEEE
Coherent upper and lower previsions are becoming more and more popular as a mathematical model for robust valuations under uncertainty. Likewise, the mathematically equivalent cla...
ADVCS
2010
13 years 5 months ago
2010
It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other one in a given sample (which hap...
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...