Coherent and convex monetary risk measures for unbounded càdlàg processes
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DOI: 10.1007/s00780-006-0017-1
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References listed on IDEAS
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
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Cited by:
- Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
- Antoon Pelsser & Mitja Stadje, 2014.
"Time-Consistent And Market-Consistent Evaluations,"
Mathematical Finance,
Wiley Blackwell, vol. 24(1), pages 25-65, January.
- Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.
- Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
- Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Papers math/0703074, arXiv.org.
- Engsner, Hampus & Lindholm, Mathias & Lindskog, Filip, 2017. "Insurance valuation: A computable multi-period cost-of-capital approach," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 250-264.
- Loisel, Stéphane & Trufin, Julien, 2014.
"Properties of a risk measure derived from the expected area in red,"
Insurance: Mathematics and Economics,
Elsevier, vol. 55(C), pages 191-199.
- Stéphane Loisel & Julien Trufin, 2014. "Properties of a risk measure derived from the expected area in red," Post-Print hal-00870224, HAL.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
- Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
- Christopher W. Miller & Insoon Yang, 2015. "Optimal Control of Conditional Value-at-Risk in Continuous Time," Papers 1512.05015, arXiv.org, revised Jan 2017.
- Masaaki Fukasawa & Mitja Stadje, 2017. "Perfect hedging under endogenous permanent market impacts," Papers 1702.01385, arXiv.org.
- repec:hal:wpaper:hal-00870224 is not listed on IDEAS
- Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete-Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40.
- Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214.
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Keywords
Coherent risk measures; Convex monetary risk measures; Coherent utility functionals; Concave monetary utility functionals; Unbounded càdlàg processes; Extension of risk measures; 91B30; 91B16; 60G07; 52A07; 46A55; 46A20; D81; C60; G18;JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
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