Star-Shaped Risk Measures
نویسندگان
چکیده
One of the mantras risk measurement is avoidance concentration. However, most formal approaches to topic actually require more than this. In “Star-Shaped Risk Measures,” Castagnoli, Cattelan, Maccheroni, Tebaldi, and Wang study this property “in purity” for monetary measures. They show that it unites value at convex measures, amenable aggregation opinions, leads treatable optimization, thanks a meaningful functional representation. also its ubiquitous presence in several fields decision making under uncertainty.
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ژورنال
عنوان ژورنال: Operations Research
سال: 2022
ISSN: ['1526-5463', '0030-364X']
DOI: https://doi.org/10.1287/opre.2022.2303