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Set-valued Star-Shaped Risk Measures
In this paper, we introduce a new class of set-valued risk measures, named set-valued star-shaped risk measures.
Dynamic star-shaped risk measures and $g$-expectations
Motivated by the results of static monetary or star-shaped risk measures, the paper investigates the representation theorems in the dynamic framework.
Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty
The paper investigates the robust optimized certainty equivalents and analyzes the relevant properties of them as risk measures for loss positions with distribution uncertainty.
Pricing principle via Tsallis relative entropy in incomplete market
A pricing principle is introduced for non-attainable $q$-exponential bounded contingent claims in an incomplete Brownian motion market setting.
Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints
The paper investigates the consumption-investment problem for an investor with Epstein-Zin utility in an incomplete market.
