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- W2134360374 abstract "Extending the approach of Jouini et al. we define set‐valued (convex) measures of risk and its acceptance sets. Using a new duality theory for set‐valued convex functions we give dual representation theorems. A scalarization concept is introduced that has economical meaning in terms of prices of portfolios of reference instruments. Using primal and dual descriptions, we introduce new examples for set‐valued measures of risk, e.g. set‐valued expectations, Value at Risk, Average Value at Risk and entropic risk measure." @default.
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- W2134360374 date "2007-01-01" @default.
- W2134360374 modified "2023-09-27" @default.
- W2134360374 title "Set-valued measures of risk" @default.
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