Now showing items 1-3 of 3

    • Dual representations for systemic risk measures 

      Ararat, Çağın; Rudloff, B. (Springer, 2020)
      The financial crisis showed the importance of measuring, allocating and regulating systemic risk. Recently, the systemic risk measures that can be decomposed into an aggregation function and a scalar measure of risk, ...
    • Lower cone distribution functions and set-valued quantiles form galois connections 

      Ararat, Çağın; Hamel, A. H. (SIAM, 2020)
      It is shown that a recently introduced lower cone distribution function, together with the set-valued multivariate quantile, generates a Galois connection between a complete lattice of closed convex sets and the interval ...
    • Portfolio optimization with two coherent risk measures 

      Aktürk, T. D.; Ararat, Çağın (Springer, 2020)
      We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for portfolio selection where the risk perception ...