SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Set-valued average value at risk and its computation
14 references·2 citing·32 second hop
Set-valued average value at risk and its computation (2013)Set-valued average value at risk and its …Stochastic Finance (2011)Stochastic FinanceSet-valued risk measures for conical market models (2011)Set-valued risk measures for …Duality for Set-Valued Measures of Risk (2010)Duality for Set-Valued Measur…COMONOTONIC MEASURES OF MULTIVARIATE RISKS (2010)COMONOTONIC MEASURES OF MULTI…Risk Measures and Efficient use of Capital (2009)Risk Measures and Efficient u…Consistent risk measures for portfolio vectors (2005)Consistent risk measures for …Vector-valued coherent risk measures (2004)Vector-valued coherent risk m…The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time (2003)The Fundamental Theorem of As…On the coherence of expected shortfall (2002)On the coherence of expected …Coherent risk measures and good-deal bounds (2001)Coherent risk measures and go…Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk (2000)Some Remarks on the Value-at-…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Hedging and liquidation under transaction costs in currency markets (1999)Hedging and liquidation under…Optimal replication of contingent claims under transaction costs (1989)Optimal replication of contin…Multi-portfolio time consistency for set-valued convex and coherent risk measures (2014)Multi-portfolio time consiste…Time consistency of dynamic risk measures in markets with transaction costs (2013)Time consistency of dynamic r…Coherent Measures of Risk (1999)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Expected Shortfall: A Natural Coherent Alternative to Value at Risk (2002)Generalized deviations in risk analysis (2005)Coherent Risk Measures on General Probability Spaces (2002)Modeling and optimization of risk (2010)Measures of Systemic Risk (2017)HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)Dynamic programming for stochastic target problems and geometric flows (2002)Martingales and stochastic integrals in the theory of continuous trading (1981)Theory of Financial Decision Making. (1988)DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)External Risk Measures and Basel Accords (2013)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Martingales and arbitrage in multiperiod securities markets (1979)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Arbitrage and duality in nondominated discrete-time models (2015)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2014)Measuring risk with multiple eligible assets (2015)Option Replication in Discrete Time with Transaction Costs (1992)Optimal Investment and Consumption with Transaction Costs (1994)Exponential Hedging and Entropic Penalties (2002)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
this work references cited by second hop

References

  • 2000Optimization of conditional value-at-risk6,711 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 2000Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk770 cited
  • 1989Optimal replication of contingent claims under transaction costs605 cited
  • 2011Stochastic Finance424 cited
  • 2003The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time278 cited
  • 1999Hedging and liquidation under transaction costs in currency markets257 cited
  • 2001Coherent risk measures and good-deal bounds208 cited
  • 2004Vector-valued coherent risk measures181 cited
  • 2010Duality for Set-Valued Measures of Risk157 cited
  • 2011Set-valued risk measures for conical market models117 cited
  • 2005Consistent risk measures for portfolio vectors107 cited
  • 2010COMONOTONIC MEASURES OF MULTIVARIATE RISKS93 cited
  • 2009Risk Measures and Efficient use of Capital74 cited

Cited by

  • 2014Multi-portfolio time consistency for set-valued convex and coherent risk measures40 cited
  • 2013

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Time consistency of dynamic risk measures in markets with transaction costs
36 cited