An Extended Family of Financial-Risk Measures
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Cited by:
- Cillo, Alessandra & Delquié, Philippe, 2014.
"Mean-risk analysis with enhanced behavioral content,"
European Journal of Operational Research, Elsevier, vol. 239(3), pages 764-775.
- Alessandra Cillo & Philippe Delquié, 2013. "Mean-Risk Analysis with Enhanced Behavioral Content," Working Papers 498, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Bertrand, Philippe & Prigent, Jean-luc, 2011.
"Omega performance measure and portfolio insurance,"
Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1811-1823, July.
- Philippe Bertrand & Jean-Luc Prigent, 2011. "Omega performance measure and portfolio insurance," Post-Print hal-01445954, HAL.
- Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
- Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
- Jordi Andreu & Salvador Torra, 2009. "Optimal market indices using value-at-risk: a first empirical approach for three stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1163-1170.
- repec:ebl:ecbull:v:4:y:2005:i:16:p:1-9 is not listed on IDEAS
- Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
- Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
- Hurlimann, Werner, 2006. "A note on generalized distortion risk measures," Finance Research Letters, Elsevier, vol. 3(4), pages 267-272, December.
- Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond-Feingold, 2004.
"La volatilité des marchés augmente-t-elle ?,"
Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 17-44.
- Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004. "La volatilité des marchés augmente-elle ?," Post-Print hal-00308982, HAL.
- Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004. "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308982, HAL.
- Kaluszka, Marek, 2004. "An extension of Arrow's result on optimality of a stop loss contract," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 527-536, December.
- Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.
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