3 papers
q-fin.RM2018
Monetary Measures of Risk
Andreas H Hamel
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation resu…
math.ST2016
Cone distribution functions and quantiles for multivariate random variables
Andreas H Hamel, Daniel Kostner
Set-valued quantiles for multivariate distributions with respect to a general convex cone are introduced which are based on a family of (univariate) distribution functions rather t…
math.OC2014
Complete Duality for Quasiconvex and Convex Set-Valued Functions
Samuel Drapeau, Andreas H. Hamel, Michael Kupper
This paper provides an unique dual representation of set-valued lower semi-continuous quasiconvex and convex functions. The results are based on a duality result for increasing set…