142 citations · 658 across the 32 of their papers we have counts for
4 papers · 1 filter
Set optimization - a rather short introduction
Andreas H. Hamel, Frank Heyde, Andreas Löhne +2
Recent developments in set optimization are surveyed and extended including various set relations as well as fundamental constructions of a convex analysis for set- and vector-valu…
Set-valued shortfall and divergence risk measures
Çağın Ararat, Andreas H. Hamel, Birgit Rudloff
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures…
A Characterization Theorem for Aumann Integrals
Çağın Ararat, Birgit Rudloff
A Daniell-Stone type characterization theorem for Aumann integrals of set-valued measurable functions will be proven. It is assumed that the values of these functions are closed co…
On the Dual of the Solvency Cone
Andreas Löhne, Birgit Rudloff
A solvency cone is a polyhedral convex cone which is used in Mathematical Finance to model proportional transaction costs. It consists of those portfolios which can be traded into…