In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and ...
We analyze an extension of the classical multi-period, single-item, linear cost inventory problem where the objective function is a coherent risk measure. Properties of coherent r...
Coherent upper and lower previsions are becoming more and more popular as a mathematical model for robust valuations under uncertainty. Likewise, the mathematically equivalent cla...
It is shown that the axioms for coherent risk measures imply that whenever there is a pair of portfolios such that one of them dominates the other one in a given sample (which hap...
For general law invariant coherent measures of risk, we derive an equivalent representation of a risk-averse newsvendor problem as a meanrisk model. We prove that the higher the w...