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401-4881-00L 4 Credits NDS , MSC D-GESS , D-ARCH , D-MTEC , D-MATH , D-BAUG , D-PHYS

Coherent Risk Measures

Lecturers & Examiners: Prof. em. Dr. Freddy Delbaen
VVZ CR n/a

Last Updated: 2026-02-05 15:06:39

Abstract

Monetary utility functions, representation. Examples of coherent risk measures. The Fatou property. James' theorem and utility functions, homogenisation. Core of games as scenario sets. Capital allocation problem. Law invariant functions. Exposed and extreme points. Distortion. Automatic continuity of the subgradient. Existence and non-existence of (unique) subgradients.

General Information

Language
English
Levels
NDS , MSC

Examination

Type
session examination
Mode
oral 30 minutes

Course Components

Type Title Time & Place Hours
lecture Coherent Risk Measures
The course will start on Friday, November 3
  • Fri 15:15-17:00 (HG G 26.1)
2 h weekly

Offered In