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RISK MEASURES: RATIONALITY AND DIVERSIFICATION
16 references·16 citing·27 second hopsampled
RISK MEASURES: RATIONALITY AND DIVERSIFICATION (2010)RISK MEASURES: RATIONALITY AND DIVERSIFIC…Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…Stochastic Finance (2004)Stochastic FinanceStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Putting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Pricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…On law invariant coherent risk measures (2001)On law invariant coherent ris…Infinite Dimensional Analysis (1999)Infinite Dimensional AnalysisCoherent Measures of Risk (1999)Coherent Measures of RiskSubjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Maxmin Expected Utility with a Non-Unique Prior (1986)Maxmin Expected Utility with …Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…Risk, Ambiguity, and the Savage Axioms (1961)Risk, Ambiguity, and the Sava…Theory of Value (1959)Theory of ValueRisk Aversion in Regulatory Capital Principles (2020)Risk Aversion in Regulatory C…A unified approach to systemic risk measures via acceptance sets (2018)A unified approach to systemi…Naive Diversification Preferences and Their Representation (2016)Naive Diversification Prefere…The Axiomatic Approach to Risk Measures for Capital Determination (2015)The Axiomatic Approach to Ris…Cautious Expected Utility and the Certainty Effect (2014)Cautious Expected Utility and…RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION (2013)RISK MEASURES ON AND VALUE AT…Reward–risk ratios (2013)Reward–risk ratiosBeyond Value‐at‐Risk: GlueVaR Distortion Risk Measures (2013)Beyond Value‐at‐Risk: GlueVaR…Indifference pricing with uncertainty averse preferences (2012)Indifference pricing with unc…Entropy Coherent and Entropy Convex Measures of Risk (2012)Entropy Coherent and Entropy …Dual Representation of Quasi-convex Conditional Maps (2011)Dual Representation of Quasi-…CONDITIONAL CERTAINTY EQUIVALENT (2011)CONDITIONAL CERTAINTY EQUIVAL…Continuity properties of law-invariant (quasi-)convex risk functions on L ∞ (2010)Continuity properties of law-…Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature (2010)Ambiguity in Asset Pricing an…Dual representation of choice and aspirational preferences (2009)Dual representation of choice…Liquidity Risk Measurement and Management (2006)Liquidity Risk Measurement an…Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)A theory of anticipated utility (1982)The Dual Theory of Choice under Risk (1987)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Psychology and Economics (1997)Cognitive skills affect economic preferences, strategic behavior, and job attachment (2009)Theory of Decision under Uncertainty (2009)Theory and Applications of Robust Optimization (2010)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)The Framing of Decisions and the Psychology of Choice (1981)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Agency Problems and Residual Claims (1983)Well-being : the foundations of hedonic psychology (1999)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1999Coherent Measures of Risk8,849 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
  • 1959Theory of Value2,538 cited
  • 2004Subjective probability and expected utility without additivity2,510 cited
  • 1989Subjective Probability and Expected Utility without Additivity2,308 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2004Stochastic Finance701 cited
  • 2002Putting order in risk measures684 cited
  • 2001On law invariant coherent risk measures676 cited
  • 1986Maxmin Expected Utility with a Non-Unique Prior668 cited
  • 2001Pricing and hedging in incomplete markets300 cited

Cited by

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  • 2013Beyond Value‐at‐Risk: GlueVaR Distortion Risk Measures109 cited
  • 2018A unified approach to systemic risk measures via acceptance sets100 cited
  • 2006Liquidity Risk Measurement and Management80 cited
  • 2010Continuity properties of law-invariant (quasi-)convex risk functions on L ∞63 cited
  • 2011Dual Representation of Quasi-convex Conditional Maps58 cited
  • 2015The Axiomatic Approach to Risk Measures for Capital Determination55 cited
  • 2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature49 cited
  • 2013RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION49 cited
  • 2011CONDITIONAL CERTAINTY EQUIVALENT45 cited
  • 2020Risk Aversion in Regulatory Capital Principles44 cited
  • 2013Reward–risk ratios44 cited
  • 2012Entropy Coherent and Entropy Convex Measures of Risk42 cited
  • 2014Cautious Expected Utility and the Certainty Effect10 cited
  • 2009Dual representation of choice and aspirational preferences8 cited
  • 2016Naive Diversification Preferences and Their Representation7 cited
  • 2012Indifference pricing with uncertainty averse preferences5 cited