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Set-valued risk measures for conical market models

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References

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Cited by

2014MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS64 cited
2018Multivariate Shortfall Risk Allocation and Systemic Risk63 cited
2013Beyond cash-additive risk measures: when changing the numéraire fails61 cited
2013Set-valued average value at risk and its computation60 cited
2015

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Measuring risk with multiple eligible assets

59 cited

2014Multi-portfolio time consistency for set-valued convex and coherent risk measures40 cited

2014AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS35 cited