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Coherent Measurement of Factor Risks
16 references·1 citing·24 second hop
Coherent Measurement of Factor Risks (2006)Coherent Measurement of Factor RisksElements of Financial Risk Management (2012)Elements of Financial Risk Ma…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Spectral measures of risk: A …Putting order in risk measures (2002)Putting order in risk measuresOn the coherence of expected shortfall (2002)On the coherence of expected …Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…On law invariant coherent risk measures (2001)On law invariant coherent ris…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Coherent Measures of Risk (1999)Coherent Measures of RiskAxiomatic characterization of insurance prices (1997)Axiomatic characterization of…Premium Calculation by Transforming the Layer Premium Density (1996)Premium Calculation by Transf…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION (2010)ON TWO APPROACHES TO COHERENT…An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Selecting and estimating regular vine copulae and application to financial returns (2012)Cores of convex games (1971)Modelling Extremal Events (1997)Generalized deviations in risk analysis (2005)PORTFOLIO SELECTION* (1952)Making and Evaluating Point Forecasts (2011)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Frameworks and Results in Distributionally Robust Optimization (2022)Lectures on Stochastic Programming: Modeling and Theory (2009)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2002Spectral measures of risk: A coherent representation of subjective risk aversion946 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 1996Premium Calculation by Transforming the Layer Premium Density696 cited
  • 2002Putting order in risk measures684 cited
  • 2001On law invariant coherent risk measures676 cited
  • 1997Axiomatic characterization of insurance prices535 cited
  • 2012Elements of Financial Risk Management436 cited
  • 2001Coherent allocation of risk capital

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422 cited

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  • 2010ON TWO APPROACHES TO COHERENT RISK CONTRIBUTION26 cited