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Monotone and cash-invariant convex functions and hulls · Study

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ArticleMonotone and cash-invariant convex functions and hulls

Damir Filipović2006

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Articlegreen2006

Monotone and cash-invariant convex functions and hulls

Damir Filipović · Michael Kupper

50 citations·0/0 files stored·Insurance Mathematics and Economics

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Risk and Portfolio Optimization Mathematical Inequalities and Applications Probability and Risk Models

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References

1999Coherent Measures of Risk 2002Conditional value-at-risk for general loss distributions 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time 1999Infinite Dimensional Analysis 2002Putting order in risk measures 2008Modern Actuarial Risk Theory 2009PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES

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2012Haezendonck–Goovaerts risk measures and Orlicz quantiles

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Year2006

Typearticle

Published2006-10-12

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations50

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.insmatheco.2006.08.003

openalex_workW2010573607

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