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A Comparison of Techniques for Dynamic Multivariate Risk Measures
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A Comparison of Techniques for Dynamic Multivariate Risk Measures (2015)A Comparison of Techniques for Dynamic Mu…Stochastic Finance (2011)Stochastic FinanceDuality for Set-Valued Measures of Risk (2010)Duality for Set-Valued Measur…RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006)RISK MEASURES AND CAPITAL REQ…Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Monetary Risk Measure…Convex risk measures and the dynamics of their penalty functions (2006)Convex risk measures and the …Conditional Risk Mappings (2006)Conditional Risk MappingsConditional and dynamic convex risk measures (2005)Conditional and dynamic conve…Vector-valued coherent risk measures (2004)Vector-valued coherent risk m…Dynamic coherent risk measures (2004)Dynamic coherent risk measuresThe Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Fundamental Theorem of As…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Hedging and liquidation under transaction costs in currency markets (1999)Hedging and liquidation under…Coherent Measures of Risk (1999)Coherent Measures of RiskMartingales and Arbitrage in Securities Markets with Transaction Costs (1995)Martingales and Arbitrage in …Option Replication in Discrete Time with Transaction Costs (1992)Option Replication in Discret…DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 (1992)DERIVATIVE ASSET PRICING WITH…Option pricing: A simplified approach (1979)Capital Market Equilibrium with Transaction Costs (1986)Portfolio Selection with Transaction Costs (1990)Optimal Investment and Consumption with Transaction Costs (1994)Optimal control of execution costs (1998)Financial Systems and the Role of Banks in Monetary Policy Transmission in the Euro Area (2010)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Convex Duality in Constrained Portfolio Optimization (1992)Stochastic Finance: An Introduction in Discrete Time (2002)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Arbitrage and duality in nondominated discrete-time models (2015)Option Pricing and Replication with Transactions Costs (1985)Continuous-Time Finance. (1991)Option pricing with transaction costs and a nonlinear Black-Scholes equation (1998)Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)Recursive multiple-priors (2003)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Asset Pricing in Economies with Frictions (1996)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Risk measures via -expectations (2006)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1995Martingales and Arbitrage in Securities Markets with Transaction Costs424 cited
  • 2011Stochastic Finance424 cited
  • 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1420 cited
  • 1992Option Replication in Discrete Time with Transaction Costs411 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
  • 1999Hedging and liquidation under transaction costs in currency markets257 cited
  • 2006Conditional Risk Mappings251 cited
  • 2006Convex risk measures and the dynamics of their penalty functions184 cited
  • 2004Vector-valued coherent risk measures181 cited
  • 2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES180 cited
  • 2010Duality for Set-Valued Measures of Risk

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