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Dynamic Minimization of Worst Conditional Expectation of Shortfall
12 references·1 citing·36 second hop
Dynamic Minimization of Worst Conditional Expectation of Shortfall (2004)Dynamic Minimization of Worst Conditional…ON THE WORST CONDITIONAL EXPECTATION (2016)ON THE WORST CONDITIONAL EXPE…Efficient hedging with coherent risk measure (2004)Efficient hedging with cohere…Minimizing Shortfall Risk and Applications to Finance and Insurance Problems (2002)Minimizing Shortfall Risk and…Coherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…On law invariant coherent risk measures (2001)On law invariant coherent ris…Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets (2000)Minimizing Expected Loss of H…Efficient hedging: Cost versus shortfall risk (2000)Efficient hedging: Cost versu…Dynamic L p -Hedging in Discrete Time under Cone Constraints (2000)Dynamic L p -Hedging in Discr…Quantile hedging (1999)Quantile hedgingOn dynamic measures of risk (1999)On dynamic measures of riskMaximizing the probability of a perfect hedge (1999)Maximizing the probability of…Coherent Measures of Risk (1999)Coherent Measures of RiskOptimal hedging when the underlying asset follows a regime-switching Markov process (2014)Optimal hedging when the unde…Cores of convex games (1971)Modelling Extremal Events (1997)Putting order in risk measures (2002)Generalized deviations in risk analysis (2005)Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Actuarial versus Financial Pricing of Insurance (2000)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Variance-optimal hedging for processes with stationary independent increments (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Convex Duality in Constrained Portfolio Optimization (1992)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Dual Formulation of the Utility Maximization Problem Under Transaction Costs (2001)On the Neyman–Pearson problem for law-invariant risk measures and robust utility functionals (2004)Optimal Portfolio in a Multiple-Priors Model (2004)Backward Stochastic Differential Equations in Finance (1997)Conservative delta hedging (2000)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007)The design of equity-indexed annuities (2008)Capital market equilibrium in a mean-lower partial moment framework (1977)Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices (2000)Portfolio management with heuristic optimization (2005)CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY (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)A composition between risk and deviation measures (2018)Convex Hedging in Incomplete Markets (2007)Characterization of positive homogeneity for the principle of equivalent utility (2022)Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates (2004)Satisficing Measures for Analysis of Risky Positions (2008)PORTFOLIO CHOICE VIA QUANTILES (2010)
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
  • 2000Efficient hedging: Cost versus shortfall risk308 cited
  • 1999Quantile hedging294 cited
  • 1999On dynamic measures of risk184 cited
  • 2000Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets95 cited
  • 2004Efficient hedging with coherent risk measure65 cited
  • 1999Maximizing the probability of a perfect hedge63 cited
  • 2016ON THE WORST CONDITIONAL EXPECTATION46 cited
  • 2000Dynamic L p -Hedging in Discrete Time under Cone Constraints45 cited
  • 2002Minimizing Shortfall Risk and Applications to Finance and Insurance Problems40 cited

Cited by

  • 2014Optimal hedging when the underlying asset follows a regime-switching Markov process27 cited

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