In the conditional setting we provide a complete duality between quasiconvex riskmeasures defined on L0 modules of the Lp type and the appropriate class of dual functions. This is based on a general result which extends the usual Penot-Volle representation for quasiconvex real valued maps
We discuss two issues about risk measures: we first point out an alternative interpretation of the p...
Quasiconvex analysis has important applications in several optimization problems in science, economi...
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properti...
We outline the history of Risk Measures from the original formulation given by Artzner Delbaen Eber ...
Motivated by many financial insights, we provide dual representation theorems for quasiconvex condit...
Motivated by many financial insights, we provide dual representation theorems for quasiconvex condit...
We propose a generalization of the classical notion of the V@Rλ that takes into account not only the...
We consider conditional and dynamic risk measures of Orlicz spaces and study their robust representa...
We show that risk-constrained dynamic resource allocation problems with general integrable nonconvex...
When there is uncertainty about interest rates (typically due to either illiquidity or defaultabilit...
When there is uncertainty about interest rates (typically due to either illiquidity or defaultabilit...
A classical result in risk measure theory states that every coherent risk measure has a dual represe...
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalen...
Quasiconvex analysis has important applications in several optimization problems in science, economi...
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to rev...
We discuss two issues about risk measures: we first point out an alternative interpretation of the p...
Quasiconvex analysis has important applications in several optimization problems in science, economi...
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properti...
We outline the history of Risk Measures from the original formulation given by Artzner Delbaen Eber ...
Motivated by many financial insights, we provide dual representation theorems for quasiconvex condit...
Motivated by many financial insights, we provide dual representation theorems for quasiconvex condit...
We propose a generalization of the classical notion of the V@Rλ that takes into account not only the...
We consider conditional and dynamic risk measures of Orlicz spaces and study their robust representa...
We show that risk-constrained dynamic resource allocation problems with general integrable nonconvex...
When there is uncertainty about interest rates (typically due to either illiquidity or defaultabilit...
When there is uncertainty about interest rates (typically due to either illiquidity or defaultabilit...
A classical result in risk measure theory states that every coherent risk measure has a dual represe...
Our paper contributes to the theory of conditional risk measures and conditional certainty equivalen...
Quasiconvex analysis has important applications in several optimization problems in science, economi...
In this paper, we explore several Fatou-type properties of risk measures. The paper continues to rev...
We discuss two issues about risk measures: we first point out an alternative interpretation of the p...
Quasiconvex analysis has important applications in several optimization problems in science, economi...
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properti...