12 citations · 57 across the 23 of their papers we have counts for
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math.ST2012★ 10 cited
Uniqueness of Kusuoka Representations
Alois Pichler, Alexander Shapiro
This paper addresses law invariant coherent risk measures and their Kusuoka representations. By elaborating the existence of a minimal representation we show that every Kusuoka rep…
math.ST2012
Spectral Risk Measures, With Adaptions For Stochastic Optimization
Alois Pichler
Stochastic optimization problems often involve the expectation in its objective. When risk is incorporated in the problem description as well, then risk measures have to be involve…