90 search results - page 3 / 18 » Simulation of Coherent Risk Measures |
FS
2006
13 years 7 months ago
2006
General deviation measures are introduced and studied systematically for their potential applications to risk management in areas like portfolio optimization and engineering. Such...
MANSCI
2007
13 years 6 months ago
2007
Value at Risk (VaR) is a central concept in risk management. As stressed by Artzner et al. (1999), VaR may not possess the subadditivity property required to be a coherent measure...
CORR
2007
Springer
13 years 7 months ago
2007
Springer
We consider the problem of Adverse Selection and optimal derivative design within a Principal-Agent framework. The principal’s income is exposed to non-hedgeable risk factors ar...
ICIP
2008
IEEE
14 years 8 months ago
2008
IEEE
The Fourier phase spectrum of an image is well known to contain crucial information about the image geometry, in particular its contours. In this paper, we show that it is also st...
ISIPTA
2005
IEEE
14 years 18 days ago
2005
IEEE
This paper focuses on establishing envelope theorems for convex conditional lower previsions, a recently investigated class of imprecise previsions larger than coherent imprecise ...