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Citations for "On dynamic measures of risk"

by Ioannis Karatzas & Jaksa Cvitanic

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  1. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 112(2), pages 185-200, August.
  2. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche, CIRPEE 1234, CIRPEE.
  3. Revaz Tevzadze & Teimuraz Toronjadze & Tamaz Uzunashvili, 2013. "Robust utility maximization for a diffusion market model with misspecified coefficients," Finance and Stochastics, Springer, Springer, vol. 17(3), pages 535-563, July.
  4. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance, EconWPA 0406004, EconWPA, revised 06 Apr 2005.
  5. Alexander Melnikov & Yuliya Romanyuk, 2006. "Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets," Working Papers, Bank of Canada 06-43, Bank of Canada.
  6. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  7. Siu, Tak Kuen & Yang, Hailiang, 1999. "Subjective risk measures: Bayesian predictive scenarios analysis," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 157-169, November.
  8. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(1), pages 204-220, January.
  9. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer, Springer, vol. 11(2), pages 161-184, June.
  10. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, Springer, vol. 15(2), pages 365-397, June.
  11. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(4), pages 979-996, April.
  12. Zhou, Qing & Wu, Weixing & Wang, Zengwu, 2008. "Cooperative hedging with a higher interest rate for borrowing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 609-616, April.
  13. Tomasz R. Bielecki & Igor Cialenco & Zhao Zhang, 2010. "Dynamic Coherent Acceptability Indices and their Applications to Finance," Papers 1010.4339, arXiv.org, revised May 2011.
  14. Alexander Cherny, 2007. "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, Springer, vol. 11(4), pages 537-569, October.
  15. Mazzoleni, Piera, 2004. "Risk measures and return performance: A critical approach," European Journal of Operational Research, Elsevier, Elsevier, vol. 155(2), pages 268-275, June.
  16. El Karoui, Nicole & Jeanblanc, Monique & Lacoste, Vincent, 2005. "Optimal portfolio management with American capital guarantee," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(3), pages 449-468, March.
  17. Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Computational Statistics, Springer, Springer, vol. 75(3), pages 221-243, June.
  18. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(7), pages 1473-1486, July.
  19. repec:gua:wpaper:ec200505 is not listed on IDEAS
  20. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000, Society for Computational Economics 147, Society for Computational Economics.
  21. Ilhan, Aytaç & Jonsson, Mattias & Sircar, Ronnie, 2009. "Optimal static-dynamic hedges for exotic options under convex risk measures," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 119(10), pages 3608-3632, October.
  22. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(5), pages 889-913, February.
  23. Gino Favero & Tiziano Vargiolu, 2006. "Shortfall risk minimising strategies in the binomial model: characterisation and convergence," Computational Statistics, Springer, Springer, vol. 64(2), pages 237-253, October.