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Set-valued average value at risk and its computation · Study

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ArticleSet-valued average value at risk and its computation

Andreas H. Hamel2013

Article2013

Set-valued average value at risk and its computation

Andreas H. Hamel · Birgit Rudloff · Mihaela Yankova

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

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2000Optimization of conditional value-at-risk 2002On the coherence of expected shortfall 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk 1989Optimal replication of contingent claims under transaction costs 2011Stochastic Finance 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time 1999Hedging and liquidation under transaction costs in currency markets 2001Coherent risk measures and good-deal bounds

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2014Multi-portfolio time consistency for set-valued convex and coherent risk measures 2013Time consistency of dynamic risk measures in markets with transaction costs

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Year2013

Typearticle

Published2013-01-22

VenueMathematics and Financial Economics

ISSN-L1862-9660

Languageen

Citations60

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11579-013-0094-9

openalex_workW2139090564

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