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Citations for "Convex measures of risk and trading constraints"

by Hans Föllmer & Alexander Schied

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  1. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  2. Jinli Hu & Amos Storkey, 2014. "Multi-period Trading Prediction Markets with Connections to Machine Learning," Papers 1403.0648, arXiv.org.
  3. Chalabi, Yohan & Wuertz, Diethelm, 2012. "Portfolio optimization based on divergence measures," MPRA Paper 43332, University Library of Munich, Germany.
  4. Klaas Schulze, 2015. "General dual measures of riskiness," Theory and Decision, Springer, vol. 78(2), pages 289-304, February.
  5. Hirbod Assa, 2015. "Optimal risk allocation in a market with non-convex preferences," Papers 1503.04460, arXiv.org.
  6. Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Papers 1304.4853, arXiv.org.
  7. Peter Bank & Yan Dolinsky & Selim G\"okay, 2014. "Super-replication with nonlinear transaction costs and volatility uncertainty," Papers 1411.1229, arXiv.org, revised Jun 2015.
  8. Bellini, Fabio & Rosazza Gianin, Emanuela, 2008. "On Haezendonck risk measures," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 986-994, June.
  9. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
  10. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
  11. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005.
  12. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
  13. Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
  14. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
  15. Sigrid K\"allblad, 2013. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Papers 1311.7419, arXiv.org.
  16. Ulrich Horst & Santiago Moreno-Bromberg, 2010. "Efficiency and Equilibria in Games of Optimal Derivative Design," SFB 649 Discussion Papers SFB649DP2010-035, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Azrieli, Yaron & Teper, Roee, 2011. "Uncertainty aversion and equilibrium existence in games with incomplete information," Games and Economic Behavior, Elsevier, vol. 73(2), pages 310-317.
  18. Hans F\"ollmer & Alexander Schied, 2013. "Probabilistic aspects of finance," Papers 1309.7759, arXiv.org.
  19. Takuji Arai & Masaaki Fukasawa, 2011. "Convex risk measures for good deal bounds," Papers 1108.1273, arXiv.org.
  20. Damir Filipovic, 2007. "Optimal Numeraires for Risk Measures," Research Paper Series 187, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Song, Yongsheng & Yan, Jia-An, 2009. "Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 459-465, December.
  22. Farkas, Walter & Koch-Medina, Pablo & Munari, Cosimo, 2014. "Capital requirements with defaultable securities," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 58-67.
  23. Cillo, Alessandra & Delquié, Philippe, 2014. "Mean-risk analysis with enhanced behavioral content," European Journal of Operational Research, Elsevier, vol. 239(3), pages 764-775.
  24. 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.
  25. David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM, . "A Satiscing Alternative to Prospect Theory," Swiss Finance Institute Research Paper Series 09-19, Swiss Finance Institute.
  26. Balbás, Alejandro & Balbás, Raquel & Mayoral, Silvia, 2009. "Portfolio choice and optimal hedging with general risk functions: A simplex-like algorithm," European Journal of Operational Research, Elsevier, vol. 192(2), pages 603-620, January.
  27. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
  28. Tim Leung & Qingshuo Song & Jie Yang, 2011. "Outperformance Portfolio Optimization via the Equivalence of Pure and Randomized Hypothesis Testing," Papers 1109.5316, arXiv.org, revised Mar 2013.
  29. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2012. "Niveloids and Their Extensions:Risk Measures on Small Domains," Working Papers 458, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  30. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA.
  31. Thomas Knispel & Roger J. A. Laeven & Gregor Svindland, 2016. "Robust Optimal Risk Sharing and Risk Premia in Expanding Pools," Papers 1601.06979, arXiv.org.
  32. Ivana Komunjer, 2007. "Asymmetric power distribution: Theory and applications to risk measurement," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 891-921.
  33. Gzyl, Henryk & Mayoral, Silvia, 2008. "Determination of risk pricing measures from market prices of risk," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 437-443, December.
  34. Zachary Feinstein & Birgit Rudloff, 2013. "A comparison of techniques for dynamic multivariate risk measures," Papers 1305.2151, arXiv.org, revised Jan 2015.
  35. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
  36. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  37. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005.
  38. 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.
  39. Wei, Linxiao & Hu, Yijun, 2014. "Coherent and convex risk measures for portfolios with applications," Statistics & Probability Letters, Elsevier, vol. 90(C), pages 114-120.
  40. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
  41. Thierry Chauveau, 2012. "Subjective risk and disappointment," Documents de travail du Centre d'Economie de la Sorbonne 12063r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2012.
  42. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
  43. Davide La Torre & Marco Maggis, 2012. "A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification," Papers 1201.1783, arXiv.org, revised Sep 2012.
  44. Irina Penner & Anthony Reveillac, 2013. "Risk measures for processes and BSDEs," Working Papers hal-00814702, HAL.
  45. Herzberg, Frederik, 2013. "Arrovian aggregation of MBA preferences: An impossibility result," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79957, Verein für Socialpolitik / German Economic Association.
  46. Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August.
  47. Daniel Lacker, 2015. "Law invariant risk measures and information divergences," Papers 1510.07030, arXiv.org, revised Jun 2016.
  48. Cheridito, Patrick & Delbaen, Freddy & Kupper, Michael, 2004. "Coherent and convex monetary risk measures for bounded càdlàg processes," Stochastic Processes and their Applications, Elsevier, vol. 112(1), pages 1-22, July.
  49. Pal, Soumik, 2007. "Computing strategies for achieving acceptability: A Monte Carlo approach," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1587-1605, November.
  50. Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2012. "Capital requirements with defaultable securities," Papers 1203.4610, arXiv.org, revised Jan 2014.
  51. Bakshi, Gurdip & Panayotov, George, 2010. "First-passage probability, jump models, and intra-horizon risk," Journal of Financial Economics, Elsevier, vol. 95(1), pages 20-40, January.
  52. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
  53. Castaneda, Pablo, 2006. "Long Term Risk Assessment in a Defined Contribution Pension System," MPRA Paper 3347, University Library of Munich, Germany, revised 30 Apr 2007.
  54. Beatrice Acciaio & Gregor Svindland, 2009. "Optimal risk sharing with different reference probabilities," LSE Research Online Documents on Economics 50119, London School of Economics and Political Science, LSE Library.
  55. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
  56. Volker Kr\"atschmer & Alexander Schied & Henryk Z\"ahle, 2012. "Comparative and qualitative robustness for law-invariant risk measures," Papers 1204.2458, arXiv.org, revised Jan 2014.
  57. Stoica, George, 2006. "Relevant coherent measures of risk," Journal of Mathematical Economics, Elsevier, vol. 42(6), pages 794-806, September.
  58. Yu, Jinping & Yang, Xiaofeng & Li, Shenghong, 2009. "Portfolio optimization with CVaR under VG process," Research in International Business and Finance, Elsevier, vol. 23(1), pages 107-116, January.
  59. Jos\'e Miguel Zapata, 2014. "Randomized versions of Mazur lemma and Krein-\v{S}mulian Theorem with application to conditional convex risk measures for portfolio vectors," Papers 1411.6256, arXiv.org, revised Jan 2016.
  60. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org, revised Jun 2015.
  61. He, Kun & Hu, Mingshang & Chen, Zengjing, 2009. "The relationship between risk measures and choquet expectations in the framework of g-expectations," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 508-512, February.
  62. Goovaerts, Marc J. & Kaas, Rob & Laeven, Roger J.A., 2010. "Decision principles derived from risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 294-302, December.
  63. Fertis, Apostolos & Baes, Michel & Lüthi, Hans-Jakob, 2012. "Robust risk management," European Journal of Operational Research, Elsevier, vol. 222(3), pages 663-672.
  64. Thierry Chauveau, 2012. "Subjective risk and disappointment," Documents de travail du Centre d'Economie de la Sorbonne 12063rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2013.
  65. Chen, Zhiping & Yang, Li, 2011. "Nonlinearly weighted convex risk measure and its application," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1777-1793, July.
  66. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  67. Dufresne, Pierre Collin & Hugonnier, Julien, 2007. "Pricing and hedging in the presence of extraneous risks," Stochastic Processes and their Applications, Elsevier, vol. 117(6), pages 742-765, June.
  68. Volker Krätschmer & Alexander Schied & Henryk Zähle, 2014. "Comparative and qualitative robustness for law-invariant risk measures," Finance and Stochastics, Springer, vol. 18(2), pages 271-295, April.
  69. Francesca Biagini & Jean-Pierre Fouque & Marco Frittelli & Thilo Meyer-Brandis, 2015. "A Unified Approach to Systemic Risk Measures via Acceptance Sets," Papers 1503.06354, arXiv.org, revised Apr 2015.
  70. Yannick Armenti & Stephane Crepey & Samuel Drapeau & Antonis Papapantoleon, 2015. "Multivariate Shortfall Risk Allocation and Systemic Risk," Papers 1507.05351, arXiv.org, revised Sep 2015.
  71. 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 Aug 2015.
  72. Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483, arXiv.org, revised Dec 2012.
  73. repec:hal:journl:halshs-00747902 is not listed on IDEAS
  74. Birgit Rudloff, 2016. "Convex Hedging in Incomplete Markets," Papers 1604.08070, arXiv.org.
  75. De Giorgi, Enrico & Hens, Thorsten & Mayer, Janos, 2011. "A note on reward-risk portfolio selection and two-fund separation," Finance Research Letters, Elsevier, vol. 8(2), pages 52-58, June.
  76. Framstad, Nils Chr., 2013. "When can environmental profile and emissions reductions be optimized independently of the pollutant level?," Memorandum 12/2013, Oslo University, Department of Economics.
  77. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
  78. Pengyu Qian & Zizhuo Wang & Zaiwen Wen, 2015. "A Composite Risk Measure Framework for Decision Making under Uncertainty," Papers 1501.01126, arXiv.org.
  79. David B. Brown & Melvyn Sim, 2009. "Satisficing Measures for Analysis of Risky Positions," Management Science, INFORMS, vol. 55(1), pages 71-84, January.
  80. Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
  81. Eskandarzadeh, Saman & Eshghi, Kourosh, 2013. "Decision tree analysis for a risk averse decision maker: CVaR Criterion," European Journal of Operational Research, Elsevier, vol. 231(1), pages 131-140.
  82. Renato Pelessoni & Paolo Vicig, 2003. "Convex Imprecise Previsions for Risk Measurement," Risk and Insurance 0309001, EconWPA.
  83. Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
  84. Matos, Joao Amaro de & Lacerda, Ana, 2006. "Equilibrium Bid-Ask Spread of European Derivatives in Dry Markets," FEUNL Working Paper Series wp480, Universidade Nova de Lisboa, Faculdade de Economia.
  85. Massimiliano Amarante, 2016. "A representation of risk measures," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(1), pages 95-103, April.
  86. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
  87. Mingxin Xu, 2004. "Risk Measure Pricing and Hedging in Incomplete Markets," Finance 0406004, EconWPA, revised 06 Apr 2005.
  88. Rustam Ibragimov, 2004. "Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions," Econometric Society 2004 Latin American Meetings 105, Econometric Society.
  89. Ang, James & Meng, Fanwen & Sun, Jie, 2014. "Two-stage stochastic linear programs with incomplete information on uncertainty," European Journal of Operational Research, Elsevier, vol. 233(1), pages 16-22.
  90. Thierry Chauveau, 2014. "Stochastic dominance, risk and disappointment: a synthesis," Documents de travail du Centre d'Economie de la Sorbonne 14054rr, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2016.
  91. Rustam Ibragimov, 2005. "Portfolio Diversification and Value At Risk Under Thick-Tailedness," Yale School of Management Working Papers amz2386, Yale School of Management, revised 01 Aug 2005.
  92. Jaume Belles-Sampera & Montserrat Guillén & Miguel Santolino, 2013. "“Beyond Value-at-Risk: GlueVaR Distortion Risk Measures”," IREA Working Papers 201302, University of Barcelona, Research Institute of Applied Economics, revised Feb 2013.
  93. Pflug, Georg Ch., 2006. "A value-of-information approach to measuring risk in multi-period economic activity," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 695-715, February.
  94. Tiexin Guo & Erxin Zhang & Mingzhi Wu & Bixuan Yang & George Yuan, 2016. "On random convex analysis," Papers 1603.07074, arXiv.org, revised Mar 2016.
  95. Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
  96. Tim Leung & Yoshihiro Shirai, 2015. "Optimal Derivative Liquidation Timing Under Path-Dependent Risk Penalties," Papers 1502.00358, arXiv.org.
  97. Ronnie Sircar & Stephan Sturm, 2011. "From Smile Asymptotics to Market Risk Measures," Papers 1107.4632, arXiv.org, revised Jul 2012.
  98. Romo, Juan & Pellerey, Franco & Lillo, Rosa E. & Laniado, Henry, 2012. "Portfolio selection through and extremality stochastic order," DES - Working Papers. Statistics and Econometrics. WS ws121812, Universidad Carlos III de Madrid. Departamento de Estadística.
  99. Roorda, Berend & Schumacher, J.M., 2007. "Time consistency conditions for acceptability measures, with an application to Tail Value at Risk," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 209-230, March.
  100. 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.
  101. Brandtner, Mario & Kürsten, Wolfgang, 2014. "Decision making with Conditional Value-at-Risk and spectral risk measures: The problem of comparative risk aversion," Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100615, Verein für Socialpolitik / German Economic Association.
  102. Siu, Tak Kuen, 2016. "A functional Itô’s calculus approach to convex risk measures with jump diffusion," European Journal of Operational Research, Elsevier, vol. 250(3), pages 874-883.
  103. Thierry Chauveau, 2016. "Stochastic dominance, risk and disappointment: a synthesis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01025102, HAL.
  104. \c{C}a\u{g}{\i}n Ararat & Andreas H. Hamel & Birgit Rudloff, 2014. "Set-valued shortfall and divergence risk measures," Papers 1405.4905, arXiv.org.
  105. Nicole EL KAROUI & Claudia RAVANELLI, 2008. "Cash Sub-additive Risk Measures and Interest Rate Ambiguity," Swiss Finance Institute Research Paper Series 08-09, Swiss Finance Institute.
  106. Herzberg, Frederik, 2014. "Aggregation of Monotonic Bernoullian Archimedean preferences: Arrovian impossibility results," Center for Mathematical Economics Working Papers 488, Center for Mathematical Economics, Bielefeld University.
  107. David B. Brown & Enrico De Giorgi & Melvyn Sim, 2012. "Aspirational Preferences and Their Representation by Risk Measures," Management Science, INFORMS, vol. 58(11), pages 2095-2113, November.
  108. Ruodu Wang & Johanna F. Ziegel, 2014. "Distortion Risk Measures and Elicitability," Papers 1405.3769, arXiv.org, revised May 2014.
  109. Eskandarzadeh, Saman & Eshghi, Kourosh & Bahramgiri, Mohsen, 2016. "Risk shaping in production planning problem with pricing under random yield," European Journal of Operational Research, Elsevier, vol. 253(1), pages 108-120.
  110. Burren, Daniel, 2013. "Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 551-568.
  111. De Lara, Michel & Leclère, Vincent, 2016. "Building up time-consistency for risk measures and dynamic optimization," European Journal of Operational Research, Elsevier, vol. 249(1), pages 177-187.
  112. Irina Penner & Anthony Réveillac, 2015. "Risk measures for processes and BSDEs," Finance and Stochastics, Springer, vol. 19(1), pages 23-66, January.
  113. Koch-Medina, Pablo & Moreno-Bromberg, Santiago & Munari, Cosimo, 2015. "Capital adequacy tests and limited liability of financial institutions," Journal of Banking & Finance, Elsevier, vol. 51(C), pages 93-102.
  114. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2015. "Time-consistency of cash-subadditive risk measures," Papers 1512.03641, arXiv.org.
  115. Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
  116. Gilles Angelsberg & Freddy Delbaen & Ivo Kaelin & Michael Kupper & Joachim Näf, 2011. "On a class of law invariant convex risk measures," Finance and Stochastics, Springer, vol. 15(2), pages 343-363, June.
  117. Jana Bielagk & Arnaud Lionnet & Goncalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Papers 1511.04218, arXiv.org, revised Jun 2016.
  118. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
  119. Michail Anthropelos & Gordan Žitković, 2010. "Partial equilibria with convex capital requirements: existence, uniqueness and stability," Annals of Finance, Springer, vol. 6(1), pages 107-135, January.
  120. Shige Peng, 2012. "The Pricing Mechanism of Contingent Claims and its Generating Function," Papers 1211.6525, arXiv.org.
  121. Ludger Rüschendorf, 2012. "Worst case portfolio vectors and diversification effects," Finance and Stochastics, Springer, vol. 16(1), pages 155-175, January.
  122. Bernard, Carole & Jiang, Xiao & Wang, Ruodu, 2014. "Risk aggregation with dependence uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 93-108.
  123. Enrico G. De Giorgi & David B. Brown & Melvyn Sim, 2010. "Dual representation of choice and aspirational preferences," University of St. Gallen Department of Economics working paper series 2010 2010-07, Department of Economics, University of St. Gallen.
  124. Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
  125. Pérez Fructuoso, María José & Balbás, Alejandro & Montagut, Esperanza H., 2004. "Hedging bond portfolios versus infinitely many ranked factors of risk," DEE - Working Papers. Business Economics. WB wb043312, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  126. Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March.
  127. Thierry Chauveau, 2014. "Stochastic dominance, risk and disappointment: a synthesis," Documents de travail du Centre d'Economie de la Sorbonne 14054r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
  128. Thierry Chauveau, 2014. "Stochastic dominance, risk and disappointment: a synthesis," Documents de travail du Centre d'Economie de la Sorbonne 14054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  129. Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.
  130. Jana Bielagk & Arnaud Lionnet & Gonçalo Dos Reis, 2015. "Equilibrium pricing under relative performance concerns," Working Papers hal-01245812, HAL.
  131. Matmoura, Yassine & Penev, Spiridon, 2013. "Multistage optimization of option portfolio using higher order coherent risk measures," European Journal of Operational Research, Elsevier, vol. 227(1), pages 190-198.
  132. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
  133. Balbás, Alejandro, 2008. "Capital requirements: Are they the best solution?," DEE - Working Papers. Business Economics. WB wb087114, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  134. Laniado, Henry & Lillo, Rosa E. & Pellerey, Franco & Romo, Juan, 2012. "Portfolio selection through an extremality stochastic order," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 1-9.
  135. Konstantinides, Dimitrios G. & Kountzakis, Christos E., 2011. "Risk measures in ordered normed linear spaces with non-empty cone-interior," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 111-122, January.
  136. Pablo Koch-Medina & Santiago Moreno-Bromberg & Cosimo Munari, 2014. "Capital adequacy tests and limited liability of financial institutions," Papers 1401.3133, arXiv.org, revised Feb 2014.
  137. De Giorgi, Enrico, 2005. "Reward-risk portfolio selection and stochastic dominance," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 895-926, April.
  138. Laeven, R.J.A. & Stadje, M.A., 2011. "Entropy Coherent and Entropy Convex Measures of Risk," Discussion Paper 2011-031, Tilburg University, Center for Economic Research.
  139. Hurlimann, Werner, 2006. "A note on generalized distortion risk measures," Finance Research Letters, Elsevier, vol. 3(4), pages 267-272, December.
  140. Giammarino, Flavia & Barrieu, Pauline, 2011. "Indifference pricing with uncertainty averse preferences," MPRA Paper 40636, University Library of Munich, Germany, revised 09 Mar 2012.
  141. Freddy Delbaen & Fabio Bellini & Valeria Bignozzi & Johanna F. Ziegel, 2016. "Risk measures with the CxLS property," Finance and Stochastics, Springer, vol. 20(2), pages 433-453, April.
  142. Alexander Schied, 2005. "Optimal Investments for Risk- and Ambiguity-Averse Preferences: A Duality Approach," SFB 649 Discussion Papers SFB649DP2005-051, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Aug 2006.
  143. Molchanov, Ilya & Cascos, Ignacio, 2006. "Multivariate risks and depth-trimmed regions," DES - Working Papers. Statistics and Econometrics. WS ws063815, Universidad Carlos III de Madrid. Departamento de Estadística.
  144. Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and Dynamic Convex Risk Measures," SFB 649 Discussion Papers SFB649DP2005-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  145. Balbás, Raquel & Balbás, Beatriz & Balbás, Alejandro, 2016. "Coherent Pricing," INDEM - Working Paper Business Economic Series 22932, Instituto para el Desarrollo Empresarial (INDEM).
  146. Zachary Feinstein & Birgit Rudloff, 2015. "A Supermartingale Relation for Multivariate Risk Measures," Papers 1510.05561, arXiv.org, revised May 2016.
  147. Hela Mzoughi & Faysal Mansouri, 2013. "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(1), pages 59-70, March.
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