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ArticleSet-valued risk measures for conical market models

Andreas H. Hamel2011

Article2011

Set-valued risk measures for conical market models

Andreas H. Hamel · Frank Heyde · Birgit Rudloff

117 citations·0/0 files stored·Mathematics and Financial Economics

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1999Coherent Measures of Risk 2002Stochastic Finance: An Introduction in Discrete Time 2002Coherent Risk Measures on General Probability Spaces 2004Stochastic Finance 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 2005The Mathematics of Arbitrage 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 1999Hedging and liquidation under transaction costs in currency markets

Cited by

2014MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS 2018Multivariate Shortfall Risk Allocation and Systemic Risk 2013Beyond cash-additive risk measures: when changing the numéraire fails 2013Set-valued average value at risk and its computation 2015Measuring risk with multiple eligible assets 2014AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS

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Year2011

Typearticle

Published2011-05-31

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations117

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11579-011-0047-0

openalex_workW2124307970

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