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On the Extension of the Namioka-Klee Theorem and on the Fatou Property for Risk Measures
14 references·15 citing·29 second hop
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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
  • 1999Infinite Dimensional Analysis1,120 cited
  • 2002Coherent Risk Measures on General Probability Spaces753 cited
  • 2004Stochastic Finance701 cited
  • 2002Putting order in risk measures684 cited
  • 2006Optimization of Convex Risk Functions474 cited
  • 1994Infinite Dimensional Analysis332 cited
  • 2009RISK MEASURES ON ORLICZ HEARTS214 cited
  • 2008Indifference Pricing191 cited
  • 2008On convex risk measures on L p -spaces150 cited
  • 2007Pricing, Hedging and Optimally Designing Derivatives Via Minimization of Risk Measures148 cited
  • 2021Analyse fonctionnelle75 cited

Cited by

  • 2018Multivariate Shortfall Risk Allocation and Systemic Risk63 cited
  • 2013Beyond cash-additive risk measures: when changing the numéraire fails61 cited
  • 2011

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Dual Representation of Quasi-convex Conditional Maps
58 cited
  • 2015The Axiomatic Approach to Risk Measures for Capital Determination55 cited
  • 2018Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces51 cited
  • 2013RISK MEASURES ON AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION49 cited
  • 2012Risk measuring under model uncertainty48 cited
  • 2011CONDITIONAL CERTAINTY EQUIVALENT45 cited
  • 2010INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES41 cited
  • 2012Lebesgue property for convex risk measures on Orlicz spaces37 cited
  • 2014Capital Requirements with Defaultable Securities35 cited
  • 2013Convex risk measures: Basic facts, law-invariance and beyond, asymptotics for large portfolios30 cited
  • 2011Good Deal Bounds Induced by Shortfall Risk22 cited
  • 2013CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS22 cited
  • 2022Parametric measures of variability induced by risk measures21 cited