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Putting order in risk measures · Study

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ArticlePutting order in risk measures

Marco Frittelli2002

Article2002

Putting order in risk measures

Marco Frittelli · Emanuela Rosazza Gianin

684 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 1997An Overview of Value at Risk 2002Coherent Risk Measures on General Probability Spaces

Cited by

2019Nonlinear Expectations and Stochastic Calculus under Uncertainty 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths 2010Robustness and sensitivity analysis of risk measurement procedures 2005Conditional and dynamic convex risk measures 2007AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS 2002Measures of risk

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Details

Year2002

Typearticle

Published2002-07-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations684

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/s0378-4266(02)00270-4

openalex_workW1969897341

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