Hamel, Andreas, Rudloff, Birgit. 2008. Continuity and Finite-Valuedness of Set-Valued Risk Measures. In: Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday, Hrsg. Chr. Tammer, F. Heyde, S. 49-64. Aachen: Shaker.
BibTeX
Abstract
Definitions and conditions for a set–valued measure of risk to have ”finite values” are given. Moreover, continuity properties for convex and non-convex risk measures are investigated. As an example, set–valued variants of Value at Risk are considered.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Chapter in edited volume |
| Language | English |
| Title | Continuity and Finite-Valuedness of Set-Valued Risk Measures |
| Title of whole publication | Festschrift in Celebration of Prof. Dr. Wilfried Grecksch's 60th Birthday |
| Editor | Chr. Tammer, F. Heyde |
| Page from | 49 |
| Page to | 64 |
| Location | Aachen |
| Publisher | Shaker |
| Year | 2008 |
| Reviewed? | Y |
| URL | http://www.princeton.edu/~brudloff/Hamel-Rudloff-08.pdf |
| ISBN | 978-3-8322-7500-6 |
Associations
- People
- Rudloff, Birgit (Details)
- External
- Hamel, Andreas (Free University of Bolzano, Italy)
- Organization
- Institute for Statistics and Mathematics IN (Details)