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ON THE WORST CONDITIONAL EXPECTATION
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ON THE WORST CONDITIONAL EXPECTATION (2016)ON THE WORST CONDITIONAL EXPECTATIONEfficient hedging with coherent risk measure (2004)Efficient hedging with cohere…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Advances in finance and stochastics : essays in honour of Dieter Sondermann (2002)Advances in finance and stoch…On law invariant coherent risk measures (2001)On law invariant coherent ris…Coherent Measures of Risk (1999)Coherent Measures of RiskA composition between risk and deviation measures (2018)A composition between risk an…Relevant coherent measures of risk (2006)Relevant coherent measures of…Optimal consumption strategies under model uncertainty (2005)Optimal consumption strategie…Dynamic Minimization of Worst Conditional Expectation of Shortfall (2004)Dynamic Minimization of Worst…Cores of convex games (1971)Modelling Extremal Events (1997)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Convex measures of risk and trading constraints (2002)A general version of the fundamental theorem of asset pricing (1994)Stochastic Finance: An Introduction in Discrete Time (2002)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization (2019)Insurance: Mathematics and Economics (2004)Efficient hedging: Cost versus shortfall risk (2000)Convex Hedging in Incomplete Markets (2007)Extending pricing rules with general risk functions (2009)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Coherent Measurement of Factor Risks (2006)Optimal hedging when the underlying asset follows a regime-switching Markov process (2014)Robustness in the Optimization of Risk Measures (2021)Consistent risk measures for portfolio vectors (2005)Robust Preferences and Robust Portfolio Choice (2009)Portfolio optimization with entropic value-at-risk (2019)
this work references cited by second hop

References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2002Advances in finance and stochastics : essays in honour of Dieter Sondermann85 cited
  • 2004Efficient hedging with coherent risk measure65 cited

Cited by

  • 2018A composition between risk and deviation measures38 cited
  • 2004Dynamic Minimization of Worst Conditional Expectation of Shortfall31 cited
  • 2006Relevant coherent measures of risk28 cited
  • 2005Optimal consumption strategies under model uncertainty24 cited

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