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Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces
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Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces (2018)Fatou property, representations, and exte…Comparative and qualitative robustness for law-invariant risk measures (2014)Comparative and qualitative r…THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1 (2012)THE CANONICAL MODEL SPACE FOR…Risk Preferences and Their Robust Representation (2012)Risk Preferences and Their Ro…On Kusuoka Representation of Law Invariant Risk Measures (2012)On Kusuoka Representation of …Stochastic Finance (2011)Stochastic FinanceRISK MEASURES ON ORLICZ HEARTS (2009)RISK MEASURES ON ORLICZ HEARTSOn the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures (2009)On the Extension of the Namio…On convex risk measures on L p -spaces (2008)On convex risk measures on L …Law invariant risk measures have the Fatou property (2007)Law invariant risk measures h…Law invariant convex risk measures (2006)Law invariant convex risk mea…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Putting order in risk measures (2002)Putting order in risk measuresCoherent Risk Measures on General Probability Spaces (2002)Coherent Risk Measures on Gen…Advances in finance and stochastics : essays in honour of Dieter Sondermann (2002)Advances in finance and stoch…On law invariant coherent risk measures (2001)On law invariant coherent ris…Coherent Measures of Risk (1999)Coherent Measures of RiskCores of convex games (1971)Modelling Extremal Events (1997)Generalized deviations in risk analysis (2005)An Overview of Value at Risk (1997)Convex measures of risk and trading constraints (2002)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Robustness and sensitivity analysis of risk measurement procedures (2010)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Risk aggregation with dependence uncertainty (2013)Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks (2016)Optimization of conditional value-at-risk (2000)Modeling and optimization of risk (2010)Quantile-Based Risk Sharing (2018)The Dual Theory of Choice under Risk (1987)Aggregation-robustness and model uncertainty of regulatory risk measures (2015)An Axiomatic Foundation for the Expected Shortfall (2019)Stochastic Finance (2004)OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)What is the best risk measure in practice? A comparison of standard measures (2015)Utility maximization in incomplete markets (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Expected shortfall and beyond (2002)Higher order elicitability and Osband’s principle (2016)Frameworks and Results in Distributionally Robust Optimization (2022)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK (2011)COHERENCE AND ELICITABILITY (2014)Risk management with expectiles (2015)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Stochastic Finance: An Introduction in Discrete Time1,190 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2002Putting order in risk measures684 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2011Stochastic Finance424 cited
  • 2007Law invariant risk measures have the Fatou property292 cited
  • 2009RISK MEASURES ON ORLICZ HEARTS214 cited
  • 2014Comparative and qualitative robustness for law-invariant risk measures159 cited
  • 2008On convex risk measures on L p -spaces150 cited
  • 2006Law invariant convex risk measures145 cited
  • 2012Risk Preferences and Their Robust Representation126 cited
  • 2009On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures105 cited
  • 2012On Kusuoka Representation of Law Invariant Risk Measures103 cited
  • 2002Advances in finance and stochastics : essays in honour of Dieter Sondermann85 cited
  • 2012THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L185 cited

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