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Monotone and cash-invariant convex functions and hulls

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. Massoomeh Rahsepar & Foivos Xanthos, 2020. "On the extension property of dilatation monotone risk measures," Papers 2002.11865, arXiv.org.
  4. Alev{s} v{C}ern'y & Johannes Ruf & Martin Schweizer, 2025. "Dynamically optimal portfolios for monotone mean--variance preferences," Papers 2503.08272, arXiv.org, revised Mar 2026.
  5. Marcelo Brutti Righi, 2019. "A composition between risk and deviation measures," Annals of Operations Research, Springer, vol. 282(1), pages 299-313, November.
  6. Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
  7. Damir Filipović, 2008. "Optimal Numeraires For Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 333-336, April.
  8. Aleš Černý, 2020. "Semimartingale theory of monotone mean–variance portfolio allocation," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1168-1178, July.
  9. 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.
  10. 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.
  11. Federico Cacciamani & Roberto Daluiso & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2026. "Time-Inhomogeneous Volatility Aversion for Financial Applications of Reinforcement Learning," Papers 2602.12030, arXiv.org.
  12. 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.
  13. 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.
  14. Mao, Tiantian & Hu, Jiuyun & Liu, Haiyan, 2018. "The average risk sharing problem under risk measure and expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 170-179.
  15. 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.
  16. Andreas H. Hamel & Frank Heyde, 2021. "Set-Valued T -Translative Functions and Their Applications in Finance," Mathematics, MDPI, vol. 9(18), pages 1-33, September.
  17. 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.
  18. Nendel, Max & Riedel, Frank & Schmeck, Maren Diane, 2021. "A decomposition of general premium principles into risk and deviation," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 193-209.
  19. Martin Herdegen & Nazem Khan, 2025. "ρ -Arbitrage and ρ -Consistent Pricing for Star-Shaped Risk Measures," Mathematics of Operations Research, INFORMS, vol. 50(2), pages 1555-1583, May.
  20. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
  21. 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.
  22. 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, July.
  23. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
  24. Martin Herdegen & Nazem Khan, 2022. "$\rho$-arbitrage and $\rho$-consistent pricing for star-shaped risk measures," Papers 2202.07610, arXiv.org, revised May 2024.
  25. Niushan Gao & Denny H. Leung & Foivos Xanthos, 2026. "On Prudence of Risk Measures," Papers 2606.21871, arXiv.org.
  26. 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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