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On Dynamic Measures of Risk
5 references·0 citing·21 second hop
On Dynamic Measures of Risk (1998)On Dynamic Measures of RiskAdaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation (1997)Adaptive control of a diffusi…A Characterization of Measures of Risk (1997)A Characterization of Measure…Lectures on the Mathematics of Finance (1996)Lectures on the Mathematics o…Optimal Replication of Options with Transactions Costs and Trading Restrictions (1993)Optimal Replication of Option…Optimal Control of Favorable Games with a Time Limit (1993)Optimal Control of Favorable …Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Optimal Investment and Consumption with Transaction Costs (1994)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Controlled markov processes and viscosity solutions (1994)Optimal investment strategies with bounded risks, general utilities, and goal achieving (2001)Controlled Markov Processes and Viscosity Solutions (2005)Brownian Motion and Stochastic Calculus (2007)Optimal investment to minimize the probability of drawdown (2016)Optimally investing to reach a bequest goal (2016)A solution approach to valuation with unhedgeable risks (2001)Stock Trading: An Optimal Selling Rule (2001)A Guided Tour through Quadratic Hedging Approaches (2010)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Efficient hedging: Cost versus shortfall risk (2000)On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals (2004)Utility maximization with a given pricing measure when the utility is not necessarily concave (2013)
this work references cited by second hop

References

  • 1993Optimal Replication of Options with Transactions Costs and Trading Restrictions208 cited
  • 1996Lectures on the Mathematics of Finance180 cited
  • 1993Optimal Control of Favorable Games with a Time Limit78 cited
  • 1997A Characterization of Measures of Risk44 cited
  • 1997Adaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation35 cited

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