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VECTOR-VALUED COHERENT RISK MEASURE PROCESSES
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2006Risk measures via -expectations289 cited
  • 2009Markets with Transaction Costs188 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 Risk157 cited
  • 2002Advances in Finance and Stochastics154 cited
  • 2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME147 cited
  • 2007Dynamic risk measures: Time consistency and risk measures from BMO martingales130 cited
  • 2011Dynamic Risk Measures127 cited

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  • 2015A Comparison of Techniques for Dynamic Multivariate Risk Measures24 cited