Recent progress in random metric theory and its applications to conditional risk measures
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References listed on IDEAS
- Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
- Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
- Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
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- Tiexin Guo & Shien Zhao & Xiaolin Zeng, 2012. "On random convex analysis -- the analytic foundation of the module approach to conditional risk measures," Papers 1210.1848, arXiv.org, revised Mar 2013.
- Beatrice Acciaio & Verena Goldammer, 2013. "Optimal portfolio selection via conditional convex risk measures on L p," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 36(1), pages 1-21, May.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2010-06-11 (Risk Management)
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