Results 31 to 40 of about 1,723,855 (80)
Coherent Risk Measures and Upper Previsions [PDF]
In this paper coherent risk measures and other currently used risk measures, notably Value-at-Risk (VaR), are studied from the perspective of the theory of coherent imprecise previsions.
Renato Pelessoni, Paolo Vicig
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Convex Imprecise Previsions for Risk Measurement [PDF]
In this paper we introduce convex imprecise previsions as a special class of imprecise previsions, showing that they retain or generalise most of the relevant properties of coherent imprecise previsions but are not necessarily positively homogeneous. The
Renato Pelessoni, Paolo Vicig
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Optimization with multivariate conditional value-at-risk constraints [PDF]
, 2013 For many decision making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference
Noyan, Nilay, Rudolf, Gabor
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Coherent updating of 2-monotone previsions [PDF]
, 2013 The conditions for a 2-monotone lower prevision to be uniquely updated to a conditional lower prevision are determined. Then a number of particular cases are investigated: completely monotone lower previsions, for which equivalent conditions in terms of ...
Ignacio Montes, Enrique Miranda
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Conditional Lower Previsions for Unbounded Random Quantities
, 2006 In this paper, a theory of conditional coherent lower previsions for arbitrary random quantities, including unbounded ones, is introduced, based on Williams's notion of coherence, and extending at the same time unconditional theories studied for ...
Troffaes, Matthias C.M.
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Envelope Theorems and Dilation with Convex Conditional Previsions
, 2005 This paper focuses on establishing envelope theorems for convex conditional lower previsions, a recently investigated class of imprecise previsions larger than coherent imprecise conditional previsions.
PELESSONI, RENATO, VICIG, PAOLO
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A Gambler's Gain Prospects with Coherent Imprecise Previsions
, 2010 We explore some little investigated aspects of the well known betting scheme defining coherent lower or upper previsions in terms of admissible gains. A limiting situation (lose-or-draw) where the supremum of some gain is zero is discussed, deriving a
VICIG, PAOLO, Paolo Vicig
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Uncertainty modelling and conditioning with convex imprecise previsions [PDF]
, 2005 Two classes of imprecise previsions, which we termed convex and centered convex previsions, are studied in this paper in a framework close to Walley’s and Williams’ theory of imprecise previsions. We show that convex previsions are related with a concept
PELESSONI, RENATO +3 more
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Some Bounds for Conditional Lower Previsions
, 2007 In this paper we consider some bounds for lower previsions that are either coherent or centered convex. As for coherent conditional previsions, we adopt a structure-free version of Williams’ coherence, which we compare with Williams’ original version and
PELESSONI, RENATO, VICIG, PAOLO
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Coherent and convex fair pricing and variability measures [PDF]
, 2008 In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful under the assumption that one starts with initial wealth being constantly 0.
Maaß, Sebastian
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