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Advances in finance and stochastics : essays in honour of Dieter Sondermann
0 references·16 citing·46 second hop
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  • 2005Consistent risk measures for portfolio vectors107 cited
  • 2019Portfolio optimization with entropic value-at-risk94 cited
  • 2009Robust Preferences and Robust Portfolio Choice84 cited
  • 2006Time consistency conditions for acceptability measures, with an application to Tail Value at Risk80 cited
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  • 2016Applied Conic Finance58 cited
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  • 2008Discrete-time approximation for continuously and discretely reflected BSDEs57 cited
  • 2004Coherent risk measures under filtered historical simulation57 cited
  • 2007What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures56 cited
  • 2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach52 cited
  • 2018Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces51 cited
  • 2016ON THE WORST CONDITIONAL EXPECTATION46 cited
  • 2012Optimal Stopping with Information Constraint42 cited
  • 2016

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Multiple-Days-Ahead Value-At-Risk and Expected Shortfall Forecasting for Stock Indices, Commodities and Exchange Rates: Inter-Day Versus Intra-Day Data
32 cited
  • 2010Optimal portfolios of a small investor in a limit order market: a shadow price approach31 cited