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Conditional dominance criteria: definition and application to risk-management

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  • Deelstra, Griselda
  • Grasselli, Martino
  • Koehl, Pierre-Francois

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  • Deelstra, Griselda & Grasselli, Martino & Koehl, Pierre-Francois, 1999. "Conditional dominance criteria: definition and application to risk-management," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 295-306, December.
    • Handle: RePEc:eee:insuma:v:25:y:1999:i:3:p:295-306
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    References listed on IDEAS

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    1. Jouini, Elyes, 2000. "Price functionals with bid-ask spreads: an axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 34(4), pages 547-558, December.
    2. Haim Levy, 1992. "Stochastic Dominance and Expected Utility: Survey and Analysis," Management Science, INFORMS, vol. 38(4), pages 555-593, April.
    3. Levy, Haim, 1985. "Upper and Lower Bounds of Put and Call Option Value: Stochastic Dominance Approach," Journal of Finance, American Finance Association, vol. 40(4), pages 1197-1217, September.
    4. Pratt, John W, 1988. "Aversion to One Risk in the Presence of Others," Journal of Risk and Uncertainty, Springer, vol. 1(4), pages 395-413, December.
    5. Schweizer, Martin, 1991. "Option hedging for semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 37(2), pages 339-363, April.
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