Distortion risk measures: Coherence and stochastic dominance.

被引：0

|

作者：

Wirch, JL

Hardy, MR

机构：

来源：

INSURANCE MATHEMATICS & ECONOMICS | 2003年 / 32卷 / 01期

关键词：

distortion risk measure; stochastic dominance; distortion function;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

引用

收藏

页码：168 / 168

页数：1

相关论文

共 50 条

[1] Stochastic Dominance Constrained Portfolio Optimization with Distortion Risk Measures
Kopa, Milos
[J]. 40TH INTERNATIONAL CONFERENCE MATHEMATICAL METHODS IN ECONOMICS 2022, 2022, : 187 - 192
[2] Pseudo Stochastic Dominance. Applications
Almaraz-Luengo, Elena
[J]. REVISTA COLOMBIANA DE ESTADISTICA, 2011, 34 (03): : 461 - 476
[3] Graphical sensitivity analysis for generalized stochastic dominance.
McCamley, F
Rudel, RK
[J]. JOURNAL OF AGRICULTURAL AND RESOURCE ECONOMICS, 1995, 20 (02): : 403 - 403
[4] On Mendelian dominance.
Moore, AR
[J]. ARCHIV FUR ENTWICKLUNGSMECHANIK DER ORGANISMEN, 1912, 34 (01): : 168 - 175
[5] New Modal Measures for Order Reduction Using the Reduction Dominance.
Benninger, N.F.
[J]. 1600, (35):
[6] Distortion risk measures: Prudence, coherence, and the expected shortfall
Amarante, Massimiliano
Liebrich, Felix-Benedikt
[J]. MATHEMATICAL FINANCE, 2024,
[7] Stochastic orders and distortion risk contribution ratio measures
Zhang, Yiying
[J]. INSURANCE MATHEMATICS & ECONOMICS, 2024, 118 : 104 - 122
[8] DOMINANCE - A RELATION BETWEEN DISTORTION MEASURES
STJERNVALL, JE
[J]. IEEE TRANSACTIONS ON INFORMATION THEORY, 1983, 29 (06) : 798 - 807
[9] Connection between higher order measures of risk and stochastic dominance
Pichler, Alois
[J]. COMPUTATIONAL MANAGEMENT SCIENCE, 2024, 21 (02)
[10] From stochastic dominance to mean-risk models: Semideviations as risk measures
Ogryczak, W
Ruszczynski, A
[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1999, 116 (01) : 33 - 50

← 1 2 3 4 5 →