Wang, Wei; Xu, Huifu Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making. (English) Zbl 07760921 Comput. Manag. Sci. 20, Paper No. 45, 51 p. (2023). MSC: 90Bxx PDFBibTeX XMLCite \textit{W. Wang} and \textit{H. Xu}, Comput. Manag. Sci. 20, Paper No. 45, 51 p. (2023; Zbl 07760921) Full Text: DOI
Wang, Wei; Xu, Huifu Preference robust distortion risk measure and its application. (English) Zbl 1522.91322 Math. Finance 33, No. 2, 389-434 (2023). MSC: 91G70 91G05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{H. Xu}, Math. Finance 33, No. 2, 389--434 (2023; Zbl 1522.91322) Full Text: DOI OA License
Zhang, Sainan; Xu, Huifu Insurance premium-based shortfall risk measure induced by cumulative prospect theory. (English) Zbl 07634985 Comput. Manag. Sci. 19, No. 4, 703-738 (2022). MSC: 90Bxx PDFBibTeX XMLCite \textit{S. Zhang} and \textit{H. Xu}, Comput. Manag. Sci. 19, No. 4, 703--738 (2022; Zbl 07634985) Full Text: DOI
Uğurlu, Kerem Refinements of Kusuoka representations on \(L^\infty\). (English) Zbl 1505.91416 Optimization 71, No. 11, 3351-3362 (2022). MSC: 91G70 91G80 PDFBibTeX XMLCite \textit{K. Uğurlu}, Optimization 71, No. 11, 3351--3362 (2022; Zbl 1505.91416) Full Text: DOI
Ernst, Oliver G.; Pichler, Alois; Sprungk, Björn Wasserstein sensitivity of risk and uncertainty propagation. (English) Zbl 1498.91503 SIAM/ASA J. Uncertain. Quantif. 10, 915-948 (2022). MSC: 91G70 35R60 60G60 PDFBibTeX XMLCite \textit{O. G. Ernst} et al., SIAM/ASA J. Uncertain. Quantif. 10, 915--948 (2022; Zbl 1498.91503) Full Text: DOI arXiv
Guo, Shaoyan; Xu, Huifu Robust spectral risk optimization when the subjective risk aversion is ambiguous: a moment-type approach. (English) Zbl 1494.90059 Math. Program. 194, No. 1-2 (A), 305-340 (2022). MSC: 90C15 90C47 90C17 PDFBibTeX XMLCite \textit{S. Guo} and \textit{H. Xu}, Math. Program. 194, No. 1--2 (A), 305--340 (2022; Zbl 1494.90059) Full Text: DOI
Pichler, Alois; Xu, Huifu Quantitative stability analysis for minimax distributionally robust risk optimization. (English) Zbl 1489.90089 Math. Program. 191, No. 1 (B), 47-77 (2022). MSC: 90C15 90C17 60B05 62P05 PDFBibTeX XMLCite \textit{A. Pichler} and \textit{H. Xu}, Math. Program. 191, No. 1 (B), 47--77 (2022; Zbl 1489.90089) Full Text: DOI Link
Bellini, Fabio; Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor Law-invariant functionals on general spaces of random variables. (English) Zbl 1465.62156 SIAM J. Financ. Math. 12, No. 1, 318-341 (2021). MSC: 62M40 60G60 46N30 46A20 PDFBibTeX XMLCite \textit{F. Bellini} et al., SIAM J. Financ. Math. 12, No. 1, 318--341 (2021; Zbl 1465.62156) Full Text: DOI arXiv
Wang, Wei; Xu, Huifu Robust spectral risk optimization when information on risk spectrum is incomplete. (English) Zbl 1454.90040 SIAM J. Optim. 30, No. 4, 3198-3229 (2020). MSC: 90C17 60B05 62P05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{H. Xu}, SIAM J. Optim. 30, No. 4, 3198--3229 (2020; Zbl 1454.90040) Full Text: DOI
Pichler, Alois; Schlotter, Ruben Martingale characterizations of risk-averse stochastic optimization problems. (English) Zbl 1445.90068 Math. Program. 181, No. 2 (B), 377-403 (2020). MSC: 90C15 60B05 62P05 PDFBibTeX XMLCite \textit{A. Pichler} and \textit{R. Schlotter}, Math. Program. 181, No. 2 (B), 377--403 (2020; Zbl 1445.90068) Full Text: DOI arXiv
Li, Jonathan Yu-Meng Technical note: closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization. (English) Zbl 1455.91238 Oper. Res. 66, No. 6, 1533-1541 (2018). MSC: 91G10 91G70 PDFBibTeX XMLCite \textit{J. Y. M. Li}, Oper. Res. 66, No. 6, 1533--1541 (2018; Zbl 1455.91238) Full Text: DOI
Egging, Ruud; Pichler, Alois; Kalvø, Øyvind Iversen; Meyer Walle-Hansen, Thomas Risk aversion in imperfect natural gas markets. (English) Zbl 1394.90446 Eur. J. Oper. Res. 259, No. 1, 367-383 (2017). MSC: 90C15 91B30 90C33 91B24 91B74 PDFBibTeX XMLCite \textit{R. Egging} et al., Eur. J. Oper. Res. 259, No. 1, 367--383 (2017; Zbl 1394.90446) Full Text: DOI Link
Ahmadi-Javid, Amir; Pichler, Alois An analytical study of norms and Banach spaces induced by the entropic value-at-risk. (English) Zbl 1411.91632 Math. Financ. Econ. 11, No. 4, 527-550 (2017). MSC: 91G70 91G80 46E30 PDFBibTeX XMLCite \textit{A. Ahmadi-Javid} and \textit{A. Pichler}, Math. Financ. Econ. 11, No. 4, 527--550 (2017; Zbl 1411.91632) Full Text: DOI
Pichler, Alois A quantitative comparison of risk measures. (English) Zbl 1406.91204 Ann. Oper. Res. 254, No. 1-2, 251-275 (2017). MSC: 91B30 90C15 62P05 PDFBibTeX XMLCite \textit{A. Pichler}, Ann. Oper. Res. 254, No. 1--2, 251--275 (2017; Zbl 1406.91204) Full Text: DOI
Shapiro, Alexander Rectangular sets of probability measures. (English) Zbl 1342.90118 Oper. Res. 64, No. 2, 528-541 (2016). MSC: 90C15 90C40 90C47 PDFBibTeX XMLCite \textit{A. Shapiro}, Oper. Res. 64, No. 2, 528--541 (2016; Zbl 1342.90118) Full Text: DOI Link