On the dual representation of coherent risk measures
On the dual representation of coherent risk measures
复制标题
连贯风险测度的双重表征
DOI：
10.1007/s10479-017-2441-3
复制
发表时间：
2015
影响因子：
4.8
通讯作者：
Qiang Yao
中科院分区：
文献类型：
--
作者：
M. Ang;Jie Sun;Qiang Yao
风险度量理论中的一个经典结果表明，每一个连贯的风险度量都有一个对偶表示，作为风险包络上某个期望值的最高值。我们将更详细地研究这个主题。相关问题包括：(1)风险包络的设置操作及其如何改变风险测度；(2)常用风险测度的风险包络结构；(3)风险测度的逆行性及其对风险包络的影响；(4)随机优化中的风险测度与鲁棒优化中的不确定性集之间的联系。
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: (1) Set operations of risk envelopes and how they change the risk measures, (2) The structure of risk envelopes of popular risk measures, (3) Aversity of risk measures and its impact to risk envelopes, and (4) A connection between risk measures in stochastic optimization and uncertainty sets in robust optimization.
DOI：
10.1016/b978-0-12-386908-1.00037-9
发表时间：
2018-11
期刊：
Wiley Series in Probability and Statistics
影响因子：
--
作者：
Bruce E. Blaine
通讯作者：
Bruce E. Blaine