On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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DOI: 10.1007/s00780-017-0339-1
Abstract: In this paper, we propose the notion of continuous-time dynamic spectral risk measure (DSR). Adopting a Poisson random measure setting, we define this class of dynamic coherent risk measures in terms of certain backward stochastic… read more here.
Keywords: risk; time; dynamic spectral; limit theorem ... See more keywords
Spectral risk measure minimization in hazardous materials transportation
Sign Up to like & getrecommendations! Published in 2019 at "IISE Transactions"
DOI: 10.1080/24725854.2018.1530488
Abstract: Abstract Due to catastrophic consequences of potential accidents in hazardous materials (hazmat) transportation, a risk-averse approach for routing is necessary. In this article, we consider spectral risk measures, for risk-averse hazmat routing, which overcome challenges… read more here.
Keywords: transportation; hazardous materials; risk; function ... See more keywords