This paper is the continuation of [5] and deals with further applications of coherent risk measures to problems of finance. First, we study the optimization problem. Three forms of this problem are considered. Furthermore, the results obtained are applied to the optimality pricing. Again three forms of this technique are considered. Finally, we study the equilibrium problem both in the unconstr...

This paper states that for financial markets with continuous filtrations, the minimax local martingale measure defined by Frittelli is equivalent to the objective measure for nondecreasing but not strictly increasing utility functions if it exists, provided the dual utility function satisfies some boundedness assumptions for the relative risk aversion, and there exists an equivalent local marti...

background: healthy dietary habits are known as a key factor for improving brain functions and cognitive ability in children and adolescents. the goal of this study was to evaluate the association of healthy food consumption with mental health in iranian children and adolescents.materials and methods: data were obtained from the fourth national school-based surveillance survey entitled caspian-...

This paper discusses a class of risk measures developed from a risk measure recently proposed for insurance pricing. This paper reviews the distortion function approach developed in the actuarial literature for insurance risk. The proportional hazards transform is a particular case. The relationship between this approach to risk and other approaches including the dual theory of choice under ris...

S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterization of law invariant coherent risk measures, satisfying the Fatou property. The latter property was introduced by F. Delbaen [D 02]. In the present note we extend Kusuoka’s characterization in two directions, the first one being rather standard, while the second one is somewhat surprising. Firstly we generalize — similarly as M....