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    On the dual representation of coherent risk measures

    251416.pdf (309.3Kb)
    Access Status
    Open access
    Authors
    Ang, M.
    Sun, Jie
    Yao, Q.
    Date
    2017
    Type
    Journal Article
    
    Metadata
    Show full item record
    Citation
    Ang, M. and Sun, J. and Yao, Q. 2017. On the dual representation of coherent risk measures. Annals of Operations Research. 262 (1): pp. 29-46.
    Source Title
    Annals of Operations Research
    DOI
    10.1007/s10479-017-2441-3
    ISSN
    0254-5330
    School
    Department of Mathematics and Statistics
    Funding and Sponsorship
    http://purl.org/au-research/grants/arc/DP160102819
    Remarks

    The final publication is available at Springer via 10.1007/s10479-017-2441-3

    URI
    http://hdl.handle.net/20.500.11937/52748
    Collection
    • Curtin Research Publications
    Abstract

    A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: (1) Set operations of risk envelopes and how they change the risk measures, (2) The structure of risk envelopes of popular risk measures, (3) Aversity of risk measures and its impact to risk envelopes, and (4) A connection between risk measures in stochastic optimization and uncertainty sets in robust optimization.

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