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Citations for "On dynamic measures of risk"

by Ioannis Karatzas & Jaksa Cvitanic

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  1. Peter Lindberg, 2012. "Optimal partial hedging of an American option: shifting the focus to the expiration date," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(3), pages 221-243, June.
  2. Hampus Engsner & Mathias Lindholm & Filip Lindskog, 2016. "Insurance valuation: a computable multi-period cost-of-capital approach," Papers 1607.04100, arXiv.org.
  3. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
  4. Tomasz R. Bielecki & Igor Cialenco & Zhao Zhang, 2010. "Dynamic Coherent Acceptability Indices and their Applications to Finance," Papers 1010.4339, arXiv.org, revised May 2011.
  5. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
  6. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
  7. Revaz Tevzadze & Teimuraz Toronjadze & Tamaz Uzunashvili, 2013. "Robust utility maximization for a diffusion market model with misspecified coefficients," Finance and Stochastics, Springer, vol. 17(3), pages 535-563, July.
  8. Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
  9. Burgert Christian & Rüschendorf Ludger, 2005. "Optimal consumption strategies under model uncertainty," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 1-14, January.
  10. Gino Favero & Tiziano Vargiolu, 2006. "Shortfall risk minimising strategies in the binomial model: characterisation and convergence," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 64(2), pages 237-253, October.
  11. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
  12. François, Pascal & Gauthier, Geneviève & Godin, Frédéric, 2014. "Optimal hedging when the underlying asset follows a regime-switching Markov process," European Journal of Operational Research, Elsevier, vol. 237(1), pages 312-322.
  13. El Karoui, Nicole & Jeanblanc, Monique & Lacoste, Vincent, 2005. "Optimal portfolio management with American capital guarantee," Journal of Economic Dynamics and Control, Elsevier, vol. 29(3), pages 449-468, March.
  14. Ilhan, Aytaç & Jonsson, Mattias & Sircar, Ronnie, 2009. "Optimal static-dynamic hedges for exotic options under convex risk measures," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3608-3632, October.
  15. repec:spr:compst:v:64:y:2006:i:2:p:237-253 is not listed on IDEAS
  16. Leitner Johannes, 2005. "Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures," Statistics & Risk Modeling, De Gruyter, vol. 23(1/2005), pages 49-66, January.
  17. repec:eee:finlet:v:22:y:2017:i:c:p:95-100 is not listed on IDEAS
  18. repec:spr:compst:v:75:y:2012:i:3:p:221-243 is not listed on IDEAS
  19. Zhou, Qing & Wu, Weixing & Wang, Zengwu, 2008. "Cooperative hedging with a higher interest rate for borrowing," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 609-616, April.
  20. Mazzoleni, Piera, 2004. "Risk measures and return performance: A critical approach," European Journal of Operational Research, Elsevier, vol. 155(2), pages 268-275, June.
  21. Rosazza Gianin, Emanuela, 2006. "Risk measures via g-expectations," Insurance: Mathematics and Economics, Elsevier, vol. 39(1), pages 19-34, August.
  22. Sabrina Mulinacci, 2011. "The efficient hedging problem for American options," Finance and Stochastics, Springer, vol. 15(2), pages 365-397, June.
  23. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
  24. Pascal François & Geneviève Gauthier & Frédéric Godin, 2012. "Optimal Hedging when the Underlying Asset Follows a Regime-switching Markov Process," Cahiers de recherche 1234, CIRPEE.
  25. Tak Kuen Siu & Hailiang Yang, 2000. "A PDE approach to risk measures of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(3), pages 211-228.
  26. Alexander Cherny, 2007. "Pricing and hedging European options with discrete-time coherent risk," Finance and Stochastics, Springer, vol. 11(4), pages 537-569, October.
  27. Tak Siu & Howell Tong & Hailiang Yang, 2004. "On Bayesian Value at Risk: From Linear to Non-Linear Portfolios," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(2), pages 161-184, June.
  28. Siu, Tak Kuen & Yang, Hailiang, 1999. "Subjective risk measures: Bayesian predictive scenarios analysis," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 157-169, November.
  29. Alexander Melnikov & Yuliya Romanyuk, 2008. "Efficient Hedging And Pricing Of Equity-Linked Life Insurance Contracts On Several Risky Assets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(03), pages 295-323.
  30. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics.
  31. 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.
  32. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
  33. Leonel Pérez-Hernández, 2005. "On the Existence of Efficient Hedge for an American Contingent Claim: Discrete Time Market," Department of Economics and Finance Working Papers EC200505, Universidad de Guanajuato, Department of Economics and Finance.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.