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Convex risk measures and the dynamics of their penalty functions

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2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME147 cited
2007Dynamic risk measures: Time consistency and risk measures from BMO martingales130 cited
2009Representation results for law invariant time consistent functions127 cited

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2011

Dynamic Risk Measures

127 cited

2012Risk Preferences and Their Robust Representation126 cited

2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES122 cited

2008Time consistent dynamic risk processes103 cited

2009Robust Preferences and Robust Portfolio Choice84 cited

2010Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition79 cited

2010Optimal stopping for dynamic convex risk measures64 cited

2012Approaches to Conditional Risk59 cited

2011Dual Representation of Quasi-convex Conditional Maps58 cited

2007What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures56 cited

2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk54 cited

2015MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE53 cited

2012Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles53 cited