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Coherent Measurement of Factor Risks · Study

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PreprintCoherent Measurement of Factor Risks

Alexander S. Cherny2006

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Preprintgreen2006

Coherent Measurement of Factor Risks

Alexander S. Cherny · Dilip B. Madan

27 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Risk Management in Financial Firms

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002On the coherence of expected shortfall 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time

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2010ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION

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2007Mathematics in Financial Risk Managementarticle · 18 shared references 2004Progress in Risk Measurement 1article · 16 shared references 2007What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measuresarticle · 15 shared references 2008Pricing with Coherent Riskarticle · 15 shared references 2010Modeling and optimization of riskarticle · 14 shared references 2006Weighted V@R and its Propertiesarticle · 14 shared references

Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations27

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.904543

openalex_workW1632425447

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