A further discussion of structural risk minimization principle on set-valued probability space

Chen, Jiqiang; Wang, Chao; Zhang, Xinai; Ha, Ming-Hu

doi:10.1109/icmlc.2010.5580973

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2020

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“…For α ∈ R d , the symbol diag(α) denotes the d × d matrix with the components of the vector α as entries on its main diagonal and zero entries elsewhere. x + stands for max(x, 0) for x ∈ R [see [18][19][20][21]] and the reference therein).…”

Section: The Regulator Casementioning

confidence: 99%

Set-Valued Weighted Value at Risk and Its Computation

Dong

2020

Front. Phys.

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In this paper, we propose a new class of set-valued coherent risk measures called the set-valued weighted value at risk. Firstly, the "regulator" version is independent of other market scenarios. The second version, which is called the market extension, is related to different market scenarios. The proofs of the properties of both versions are given, and equivalent representations are provided that enable us to compute the values of both versions of set-valued weighted value at risk. Finally, we offer examples to illustrate various features of the theoretical constructions of the set-valued weighted value at risk.

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Section: The Regulator Casementioning

confidence: 99%

Set-Valued Weighted Value at Risk and Its Computation

Dong

2020

Front. Phys.

View full text Add to dashboard Cite

show abstract

A further discussion of structural risk minimization principle on set-valued probability space

Cited by 1 publication

References 6 publications

Set-Valued Weighted Value at Risk and Its Computation

Set-Valued Weighted Value at Risk and Its Computation

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