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Gain–loss based convex risk limits in discrete-time trading

  • Mustafa Pınar

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    File URL: http://hdl.handle.net/10.1007/s10287-010-0122-7
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    Article provided by Springer in its journal Computational Management Science.

    Volume (Year): 8 (2011)
    Issue (Month): 3 (August)
    Pages: 299-321

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    Handle: RePEc:spr:comgts:v:8:y:2011:i:3:p:299-321
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    1. Cern›, Ales, 2002. "Generalized Sharpe Ratios and Asset Pricing in Incomplete Markets," Royal Economic Society Annual Conference 2002 41, Royal Economic Society.
    2. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005.
    3. Nicholas Barberis & Ming Huang & Tano Santos, . "Prospect Theory and Asset Prices," CRSP working papers 494, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    4. Alexander Cherny, 2007. "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, vol. 11(4), pages 537-569, October.
    5. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 06 Apr 2005.
    6. Susanne Klöppel & Martin Schweizer, 2007. "Dynamic Indifference Valuation Via Convex Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 599-627.
    7. Stefan Jaschke & Uwe Küchler, 2001. "Coherent risk measures and good-deal bounds," Finance and Stochastics, Springer, vol. 5(2), pages 181-200.
    8. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612.
    9. Grüne, Lars & Semmler, Willi, 2008. "Asset pricing with loss aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(10), pages 3253-3274, October.
    10. A. Oberman & T. Zariphopoulou, 2003. "Pricing early exercise contracts in incomplete markets," Computational Management Science, Springer, vol. 1(1), pages 75-107, December.
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