Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Multi-portfolio time consistency for set-valued convex and coherent risk measures

16 references·1 citing·25 second hop

FromToDepth

this work references cited by second hop

References

1999Coherent Measures of Risk8,849 cited
2002Convex measures of risk and trading constraints1,452 cited
2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
2002Putting order in risk measures684 cited
2011Stochastic Finance424 cited
2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
2004Dynamic coherent risk measures400 cited
2005Conditional and dynamic convex risk measures356 cited
2004Stochastic finance. an introduction in discrete time351 cited
2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 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
2006Conditional Risk Mappings251 cited
2006The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures195 cited
2006Convex risk measures and the dynamics of their penalty functions184 cited
2004Vector-valued coherent risk measures

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

181 cited

Cited by

2013Time consistency of dynamic risk measures in markets with transaction costs36 cited