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Lebesgue property for convex risk measures on Orlicz spaces
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Lebesgue property for convex risk measures on Orlicz spaces (2012)Lebesgue property for convex risk measure…RISK MEASURES ON ORLICZ HEARTS (2009)RISK MEASURES ON ORLICZ HEARTSOn the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures (2009)On the Extension of the Namio…A Unified Framework for Utility Maximization Problems: an Orlicz Space Approach (2008)A Unified Framework for Utili…A unified framework for utility maximization problems: An Orlicz space approach (2008)A unified framework for utili…Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…Stochastic Finance (2004)Stochastic FinanceStochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Coherent risk measures (2000)Coherent risk measuresCoherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Modeling and optimization of risk (2010)Comparative and qualitative robustness for law-invariant risk measures (2014)Quantile-Based Risk Sharing (2018)Cores of convex games (1971)On law invariant coherent risk measures (2001)Ambiguous chance constrained problems and robust optimization (2005)Inf-convolution of risk measures and optimal risk transfer (2005)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Beyond cash-additive risk measures: when changing the numéraire fails (2013)MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2014)Multivariate Shortfall Risk Allocation and Systemic Risk (2018)Infinite Dimensional Analysis (1999)OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING (2009)Convex Duality in Stochastic Optimization and Mathematical Finance (2011)Coherent Risk Measures on General Probability Spaces (2002)OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)What is the best risk measure in practice? A comparison of standard measures (2015)Convex measures of risk and trading constraints (2002)Dual Representation of Quasi-convex Conditional Maps (2011)Generalized deviations in risk analysis (2005)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)Robustness and sensitivity analysis of risk measurement procedures (2010)
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References

  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2004Stochastic Finance701 cited
  • 2000Coherent risk measures308 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2009RISK MEASURES ON ORLICZ HEARTS214 cited
  • 2009On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures105 cited
  • 2008A Unified Framework for Utility Maximization Problems: an Orlicz Space Approach74 cited
  • 2008A unified framework for utility maximization problems: An Orlicz space approach69 cited

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