Put Option Premiums and Coherent Risk Measures
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- Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Working Papers hal-00629929, HAL.
- Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
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- Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun, 2008. "An optimal insurance strategy for an individual under an intertemporal equilibrium," Insurance: Mathematics and Economics, Elsevier, pages 255-260.
- Robert Jarrow, 2013. "Capital adequacy rules, catastrophic firm failure, and systemic risk," Review of Derivatives Research, Springer, pages 219-231.
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- Robert Jarrow & Feng Zhao, 2006. "Downside Loss Aversion and Portfolio Management," Management Science, INFORMS, pages 558-566.
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- Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
- Rama Cont & Romain Deguest & Xuedong He, 2011. "Loss-Based Risk Measures," Papers 1110.1436, arXiv.org, revised Apr 2013.
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