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Existence, uniqueness, and stability of optimal payoffs of eligible assets
16 references·0 citing·37 second hop
Existence, uniqueness, and stability of optimal payoffs of eligible assets (2019)Existence, uniqueness, and stability of o…Quantile-Based Risk Sharing (2018)Quantile-Based Risk SharingMeasures of Systemic Risk (2017)Measures of Systemic RiskStochastic Finance (2011)Stochastic FinanceMARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE (2010)MARKETS AS A COUNTERPARTY: AN…Duality for Set-Valued Measures of Risk (2010)Duality for Set-Valued Measur…OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS (2008)OPTIMAL RISK SHARING FOR LAW …Optimal capital and risk allocations for law- and cash-invariant convex functions (2008)Optimal capital and risk allo…RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006)RISK MEASURES AND CAPITAL REQ…Polyhedral Risk Measures in Stochastic Programming (2005)Polyhedral Risk Measures in S…Vector-valued coherent risk measures (2004)Vector-valued coherent risk m…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Pricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…Coherent risk measures and good-deal bounds (2001)Coherent risk measures and go…Gain, Loss, and Asset Pricing (2000)Gain, Loss, and Asset PricingBeyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets (2000)Beyond Arbitrage: Good‐Deal A…Coherent Measures of Risk (1999)Coherent Measures of RiskStochastic Finance: An Introduction in Discrete Time (2002)Conditional and dynamic convex risk measures (2005)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Lectures on Stochastic Programming (2009)Hedging and liquidation under transaction costs in currency markets (1999)Coherent Risk Measures on General Probability Spaces (2002)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Modeling and optimization of risk (2010)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Prospect theory: An analysis of decision under risk (1988)Arbitrage Theory in Continuous Time (2004)Demand-Based Option Pricing (2005)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Putting order in risk measures (2002)Time-changed Lévy processes and option pricing (2003)MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)Convex Duality in Constrained Portfolio Optimization (1992)Theory and Applications of Robust Optimization (2011)Distributionally Robust Convex Optimization (2014)Martingales and stochastic integrals in the theory of continuous trading (1981)Theory of Financial Decision Making. (1988)Coherent multiperiod risk adjusted values and Bellman’s principle (2006)In Search of Homo Economicus: Behavioral Experiments in 15 Small-Scale Societies (2001)DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES (2007)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Common risk factors in the returns on stocks and bonds (1993)Investment under Uncertainty (1994)Valuation in Over-the-Counter Markets (2007)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

  • 1999Coherent Measures of Risk8,849 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets476 cited
  • 2000Gain, Loss, and Asset Pricing475 cited
  • 2011Stochastic Finance424 cited
  • 2001Pricing and hedging in incomplete markets300 cited
  • 2008OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS232 cited
  • 2001Coherent risk measures and good-deal bounds208 cited
  • 2004Vector-valued coherent risk measures181 cited
  • 2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES180 cited
  • 2010MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE168 cited
  • 2010Duality for Set-Valued Measures of Risk157 cited
  • 2018Quantile-Based Risk Sharing152 cited
  • 2017Measures of Systemic Risk139 cited
  • 2008Optimal capital and risk allocations for law- and cash-invariant convex functions125 cited
  • 2005Polyhedral Risk Measures in Stochastic Programming119 cited

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