On the dual representation of coherent risk measures
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 ris...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Springer New York LLC
2017
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| Online Access: | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52748 |
| _version_ | 1848759001921093632 |
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| author | Ang, M. Sun, Jie Yao, Q. |
| author_facet | Ang, M. Sun, Jie Yao, Q. |
| author_sort | Ang, M. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:52:57Z |
| format | Journal Article |
| id | curtin-20.500.11937-52748 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:52:57Z |
| publishDate | 2017 |
| publisher | Springer New York LLC |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-527482018-02-28T04:07:30Z On the dual representation of coherent risk measures Ang, M. Sun, Jie Yao, Q. 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. 2017 Journal Article http://hdl.handle.net/20.500.11937/52748 10.1007/s10479-017-2441-3 http://purl.org/au-research/grants/arc/DP160102819 Springer New York LLC fulltext |
| spellingShingle | Ang, M. Sun, Jie Yao, Q. On the dual representation of coherent risk measures |
| title | On the dual representation of coherent risk measures |
| title_full | On the dual representation of coherent risk measures |
| title_fullStr | On the dual representation of coherent risk measures |
| title_full_unstemmed | On the dual representation of coherent risk measures |
| title_short | On the dual representation of coherent risk measures |
| title_sort | on the dual representation of coherent risk measures |
| url | http://purl.org/au-research/grants/arc/DP160102819 http://hdl.handle.net/20.500.11937/52748 |