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Monotone and cash-invariant convex functions and hulls

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  • Filipovic, Damir
  • Kupper, Michael

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  • Filipovic, Damir & Kupper, Michael, 2007. "Monotone and cash-invariant convex functions and hulls," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 1-16, July.
  • Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:1-16
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    References listed on IDEAS

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    1. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2009. "Portfolio Selection With Monotone Mean-Variance Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 487-521.
    2. Bühlmann, Hans, 1984. "The General Economic Premium Principle," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 14(01), pages 13-21, April.
    3. H. Föllmer & Y.M. Kabanov, 1997. "Optional decomposition and Lagrange multipliers," Finance and Stochastics, Springer, vol. 2(1), pages 69-81.
    4. Bühlmann, Hans & Jewell, William S., 1979. "Optimal Risk Exchanges," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 10(03), pages 243-262, December.
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    Citations

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    Cited by:

    1. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
    2. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2014. "Beyond cash-additive risk measures: when changing the numéraire fails," Finance and Stochastics, Springer, vol. 18(1), pages 145-173, January.
    3. repec:spr:compst:v:74:y:2011:i:2:p:191-215 is not listed on IDEAS
    4. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2009. "Portfolio Selection With Monotone Mean-Variance Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 487-521.
    5. repec:spr:compst:v:69:y:2009:i:3:p:475-495 is not listed on IDEAS
    6. Damir Filipović, 2008. "Optimal Numeraires For Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 333-336.
    7. Karl-Theodor Eisele & Philippe Artzner, 2013. "Multiperiod Banking Supervision," Working Papers of LaRGE Research Center 2013-05, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    8. 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.
    9. M. Volle, 2012. "A primal–dual operation on sets linked with closed convex relaxation processes," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 534-546, July.
    10. Marcelo Brutti Righi, 2015. "A composition between risk and deviation measures," Papers 1511.06943, arXiv.org, revised May 2018.
    11. Dimitrios Konstantinides & Christos Kountzakis, 2014. "The restricted convex risk measures in actuarial solvency," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 287-318, October.
    12. Radu Boţ & Alina-Ramona Frătean, 2011. "Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(2), pages 191-215, October.
    13. Černý, Aleš & Maccheroni, Fabio & Marinacci, Massimo & Rustichini, Aldo, 2012. "On the computation of optimal monotone mean–variance portfolios via truncated quadratic utility," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 386-395.
    14. 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.
    15. Bellini, Fabio & Rosazza Gianin, Emanuela, 2012. "Haezendonck–Goovaerts risk measures and Orlicz quantiles," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 107-114.

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