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Citations for "Convex measures of risk and trading constraints"

by Hans Föllmer & Alexander Schied

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  1. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
  2. Hela Mzoughi & Faysal Mansouri, 2013. "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(1), pages 59-70, March.
  3. Ales Cerný & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2008. "On the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility," Carlo Alberto Notebooks 79, Collegio Carlo Alberto.
  4. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
  5. Li, Peng & Lim, Andrew E.B. & Shanthikumar, J. George, 2010. "Optimal risk transfer for agents with germs," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 1-12, August.
  6. Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari, 2014. "Capital adequacy tests and limited liability of financial institutions," Papers 1401.3133, arXiv.org, revised Feb 2014.
  7. Jinli Hu & Amos Storkey, 2014. "Multi-period Trading Prediction Markets with Connections to Machine Learning," Papers 1403.0648, arXiv.org.
  8. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
  9. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  10. Bauerle, Nicole & Muller, Alfred, 2006. "Stochastic orders and risk measures: Consistency and bounds," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 132-148, February.
  11. Cheridito, Patrick & Delbaen, Freddy & Kupper, Michael, 2004. "Coherent and convex monetary risk measures for bounded càdlàg processes," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 1-22, July.
  12. Tsanakas, Andreas, 2009. "To split or not to split: Capital allocation with convex risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 268-277, April.
  13. Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March.
  14. \c{C}a\u{g}\in Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org.
  15. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
  16. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
  17. Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
  18. Hellmann, Tobias & Riedel, Frank, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79752, Verein für Socialpolitik / German Economic Association.
  19. Rustam Ibragimov, 2004. "Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions," Econometric Society 2004 Latin American Meetings 105, Econometric Society.
  20. Burren, Daniel, 2013. "Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 551-568.
  21. Pablo Castañeda, 2007. "Long Term Risk Assessment in a Defined Contribution Pension System," Working Papers 20, Superintendencia de Pensiones, revised Oct 2007.
  22. Thierry Chauveau, 2012. "Subjective risk and disappointment," Documents de travail du Centre d'Economie de la Sorbonne 12063r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2012.
  23. Ulrich Horst & Santiago Moreno-Bromberg, 2010. "Efficiency and Equilibria in Games of Optimal Derivative Design," SFB 649 Discussion Papers SFB649DP2010-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  24. Alejandro Balbas & Anna Downarowicz, 2004. "Infinitely many securities and the fundamental theorem of asset pricing," Business Economics Working Papers wb043513, Universidad Carlos III, Departamento de Economía de la Empresa.
  25. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
  26. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  27. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
  28. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
  29. Enrico De Giorgi, . "Reward-Risk Portfolio Selection and Stochastic Dominance," IEW - Working Papers 121, Institute for Empirical Research in Economics - University of Zurich.
  30. Renato Pelessoni & Paolo Vicig, 2003. "Convex Imprecise Previsions for Risk Measurement," Risk and Insurance 0309001, EconWPA.
  31. Wojciech Antoniak, 2013. "Wpływ reasekuracji i retrocesji na własności składek," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 77-97.
  32. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
  33. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
  34. Chalabi, Yohan & Wuertz, Diethelm, 2012. "Portfolio optimization based on divergence measures," MPRA Paper 43332, University Library of Munich, Germany.
  35. Tim Leung & Qingshuo Song & Jie Yang, 2013. "Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing," Finance and Stochastics, Springer, vol. 17(4), pages 839-870, October.
  36. Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
  37. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org.
  38. Stoica, George, 2006. "Relevant coherent measures of risk," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 794-806, September.
  39. Giammarino, Flavia & Barrieu, Pauline, 2013. "Indifference pricing with uncertainty averse preferences," Journal of Mathematical Economics, Elsevier, vol. 49(1), pages 22-27.
  40. Damir Filipovic, 2007. "Optimal Numeraires for Risk Measures," Research Paper Series 187, Quantitative Finance Research Centre, University of Technology, Sydney.
  41. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
  42. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Feb 2014.
  43. Filipovic, Damir & Vogelpoth, Nicolas, 2008. "A note on the Swiss Solvency Test risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 897-902, June.
  44. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
  45. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  46. Ivana Komunjer, 2007. "Asymmetric power distribution: Theory and applications to risk measurement," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 891-921.
  47. Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483, arXiv.org, revised Dec 2012.
  48. Eskandarzadeh, Saman & Eshghi, Kourosh, 2013. "Decision tree analysis for a risk averse decision maker: CVaR Criterion," European Journal of Operational Research, Elsevier, vol. 231(1), pages 131-140.
  49. Frank Riedel, 2003. "Dynamic Coherent Risk Measures," Working Papers 03004, Stanford University, Department of Economics.
  50. Song, Yongsheng & Yan, Jia-An, 2009. "Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 459-465, December.
  51. Volker Kr\"atschmer & Alexander Schied & Henryk Z\"ahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
  52. Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
  53. Herzberg, Frederik, 2013. "Arrovian aggregation of MBA preferences: An impossibility result," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79957, Verein für Socialpolitik / German Economic Association.
  54. Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Working Papers hal-00814702, HAL.
  55. Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Papers 1304.4853, arXiv.org.
  56. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
  57. He, Kun & Hu, Mingshang & Chen, Zengjing, 2009. "The relationship between risk measures and choquet expectations in the framework of g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 508-512, February.
  58. Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan, 2012. "Portfolio selection through an extremality stochastic order," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 1-9.
  59. Frederik Herzberg, 2013. "Aggregation of Monotonic Bernoullian Archimedean preferences: Arrovian impossibility results," Working Papers 488, Bielefeld University, Center for Mathematical Economics.
  60. Fertis, Apostolos & Baes, Michel & Lüthi, Hans-Jakob, 2012. "Robust risk management," European Journal of Operational Research, Elsevier, vol. 222(3), pages 663-672.
  61. Farkas, Walter & Koch-Medina, Pablo & Munari, Cosimo, 2014. "Capital requirements with defaultable securities," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 58-67.
  62. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  63. Alexander Schied, 2005. "Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach," SFB 649 Discussion Papers SFB649DP2005-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
  64. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
  65. repec:hal:journl:halshs-00747902 is not listed on IDEAS
  66. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Oct 2013.
  67. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
  68. Shige Peng, 2012. "The Pricing Mechanism of Contingent Claims and its Generating Function," Papers 1211.6525, arXiv.org.
  69. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2013. "Measuring risk with multiple eligible assets," Papers 1308.3331, arXiv.org, revised Mar 2014.
  70. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005.
  71. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
  72. Ronnie Sircar & Stephan Sturm, 2011. "From Smile Asymptotics to Market Risk Measures," Papers 1107.4632, arXiv.org, revised Jul 2012.
  73. Henryk Gzyl & Silvia Mayoral, . "Determination of Risk Pricing Measures from Market Prices of Risk," Faculty Working Papers 03/07, School of Economics and Business Administration, University of Navarra.
  74. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.
  75. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2012. "Niveloids and Their Extensions:Risk Measures on Small Domains," Working Papers 458, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  76. Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, vol. 12(3), pages 193-211, October.
  77. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
  78. Davide La Torre & Marco Maggis, 2012. "A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification," Papers 1201.1783, arXiv.org, revised Sep 2012.
  79. Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  80. Pelsser, A. & Stadje, M.A., 2012. "Time-Consistent and Market-Consistent Evaluations (Revised version of CentER DP 2011-063)," Discussion Paper 2012-086, Tilburg University, Center for Economic Research.
  81. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
  82. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
  83. Konstantinides, Dimitrios G. & Kountzakis, Christos E., 2011. "Risk measures in ordered normed linear spaces with non-empty cone-interior," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 111-122, January.
  84. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Capital requirements with defaultable securities," Papers 1203.4610, arXiv.org, revised Jan 2014.
  85. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.
  86. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA.
  87. Framstad, Nils Chr., 2013. "When can environmental profile and emissions reductions be optimized independently of the pollutant level?," Memorandum 12/2013, Oslo University, Department of Economics.
  88. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  89. Ang, James & Meng, Fanwen & Sun, Jie, 2014. "Two-stage stochastic linear programs with incomplete information on uncertainty," European Journal of Operational Research, Elsevier, vol. 233(1), pages 16-22.
  90. Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 426-433, June.
  91. Bellini, Fabio & Rosazza Gianin, Emanuela, 2008. "On Haezendonck risk measures," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 986-994, June.
  92. Claudia Ravanelli & Gregor Svindland, 2014. "Comonotone Pareto optimal allocations for law invariant robust utilities on L 1," Finance and Stochastics, Springer, vol. 18(1), pages 249-269, January.
  93. Alejandro Balbás & Raquel Balbás, 2009. "Compatibility between pricing rules and risk measures: The CCVaR," Business Economics Working Papers wb090201, Universidad Carlos III, Departamento de Economía de la Empresa.
  94. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005.
  95. Alessandra Cillo & Philippe Delquié, 2013. "Mean-Risk Analysis with Enhanced Behavioral Content," Working Papers 498, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  96. Sigrid K\"allblad, 2013. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Papers 1311.7419, arXiv.org.
  97. Matos, Joao Amaro de & Lacerda, Ana, 2006. "Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets," FEUNL Working Paper Series wp480, Universidade Nova de Lisboa, Faculdade de Economia.
  98. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Beyond cash-additive risk measures: when changing the num\'{e}raire fails," Papers 1206.0478, arXiv.org, revised Feb 2014.
  99. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
  100. Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
  101. Enrico G. De Giorgi & David B. Brown & Melvyn Sim, 2010. "Dual representation of choice and aspirational preferences," University of St. Gallen Department of Economics working paper series 2010 2010-07, Department of Economics, University of St. Gallen.
  102. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  103. Henry Laniado & Rosa E. Lillo & Franco Pellerey & Juan Romo, 2012. "Portfolio selection through and extremality stochastic order," Statistics and Econometrics Working Papers ws121812, Universidad Carlos III, Departamento de Estadística y Econometría.
  104. David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM, . "A Satiscing Alternative to Prospect Theory," Swiss Finance Institute Research Paper Series 09-19, Swiss Finance Institute.
  105. Pauline Barrieu & Nicole El Karoui, 2005. "Inf-convolution of risk measures and optimal risk transfer," LSE Research Online Documents on Economics 2829, London School of Economics and Political Science, LSE Library.
  106. Hurlimann, Werner, 2006. "A note on generalized distortion risk measures," Finance Research Letters, Elsevier, vol. 3(4), pages 267-272, December.
  107. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
  108. Ignacio Cascos & Ilya Molchanov, 2006. "Multivariate Risks And Depth-Trimmed Regions," Statistics and Econometrics Working Papers ws063815, Universidad Carlos III, Departamento de Estadística y Econometría.
  109. Yu, Jinping & Yang, Xiaofeng & Li, Shenghong, 2009. "Portfolio optimization with CVaR under VG process," Research in International Business and Finance, Elsevier, vol. 23(1), pages 107-116, January.
  110. Alejandro Balbas, 2008. "Capital requirements: Are they the best solution?," Business Economics Working Papers wb087114, Universidad Carlos III, Departamento de Economía de la Empresa.
  111. Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
  112. Beatrice Acciaio & Gregor Svindland, 2009. "Optimal risk sharing with different reference probabilities," LSE Research Online Documents on Economics 50119, London School of Economics and Political Science, LSE Library.
  113. Pal, Soumik, 2007. "Computing strategies for achieving acceptability: A Monte Carlo approach," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1587-1605, November.
  114. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  115. Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
  116. Balbás, Alejandro & Balbás, Raquel & Mayoral, Silvia, 2009. "Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm," European Journal of Operational Research, Elsevier, vol. 192(2), pages 603-620, January.
  117. Zachary Feinstein & Birgit Rudloff, 2012. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised May 2014.
  118. Alejandro Balbas & Esperanza H. Montagut & Maria Jose Perez Fructuoso, 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," Business Economics Working Papers wb043312, Universidad Carlos III, Departamento de Economía de la Empresa.
  119. Gilles Angelsberg & Freddy Delbaen & Ivo Kaelin & Michael Kupper & Joachim Näf, 2011. "On a class of law invariant convex risk measures," Finance and Stochastics, Springer, vol. 15(2), pages 343-363, June.
  120. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  121. Pflug, Georg Ch., 2006. "A value-of-information approach to measuring risk in multi-period economic activity," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 695-715, February.