Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Ruben Schlotter"'
Publikováno v:
Risks, Vol 5, Iss 4, p 59 (2017)
In the present paper, we study quantile risk measures and their domain. Our starting point is that, for a probability measure Q on the open unit interval and a wide class L Q of random variables, we define the quantile risk measure ϱ Q as the map th
Externí odkaz:
https://doaj.org/article/d559b872481c4f409941528c874982c4
Autor:
Alois Pichler, Ruben Schlotter
Publikováno v:
Mathematics of Operations Research.
This paper extends dynamic control problems from a risk-neutral to a risk-averse setting. We establish a limit for consecutive risk-averse decision making by consistently and adequately nesting coherent risk measures. This approach provides a new per
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1ef0aa468d956c2b5b2de8504e3c3baa
https://doi.org/10.1287/moor.2022.1314
https://doi.org/10.1287/moor.2022.1314
Autor:
Ruben Schlotter, Alois Pichler
Publikováno v:
European Journal of Operational Research. 285:223-236
Entropy is a measure of self-information which is used to quantify information losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::06f8cdca37e92e6f4ba2c7c418939138
https://doi.org/10.1016/j.ejor.2019.01.016
https://doi.org/10.1016/j.ejor.2019.01.016
Autor:
Alois Pichler, Ruben Schlotter
This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical models in f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::322726c983fc09ca24b6c940a8b0e6e3
Autor:
Alois Pichler, Ruben Schlotter
This paper addresses risk awareness of stochastic optimization problems. Nested risk measures appear naturally in this context, as they allow beneficial reformulations for algorithmic treatments. The reformulations presented extend usual Hamilton-Jac
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a52bfb49f4b3b41eec2bf321bf46b41d
http://arxiv.org/abs/1802.03639
http://arxiv.org/abs/1802.03639