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Coherent Risk Measures, Valuation Bounds, and (My,p)-Portfolio Optimization
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1006/jeth.1995.1037openalex-snapshot
Martingales and Arbitrage in Securities Markets with Transaction Costs
inferredcites →https://doi.org/10.1007/978-3-642-49972-2openalex-snapshot
Stochastic Orders and Applications: A Classified Bibliography
inferredcites →https://doi.org/10.1007/978-3-662-24912-3_3openalex-snapshot
Topologische lineare Räume
inferredcites →https://doi.org/10.1016/0304-4149(81)90026-0openalex-snapshot
Martingales and stochastic integrals in the theory of continuous trading
inferredcites →https://doi.org/10.1111/j.1467-9965.1995.tb00065.xopenalex-snapshot
ARBITRAGE IN SECURITIES MARKETS WITH SHORT‐SALES CONSTRAINTS
inferredcites →https://doi.org/10.1137/s0363012992232579openalex-snapshot
Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
inferredcites →https://doi.org/10.1201/9780203749807openalex-snapshot
Introductory Theory of Topological Vector Spaces
inferredcites →https://doi.org/10.2139/ssrn.111028openalex-snapshot
Higher Order Forward Rate Agreements and the Smoothness of the Term Structure
inferredcites →https://doi.org/10.2307/2234100openalex-snapshot
Nonlinear Preference and Utility Theory.
inferredcites →https://doi.org/10.2307/2308567openalex-snapshot
Linear Operators. Part I: General Theory.
inferredcites →https://doi.org/10.2307/2330433openalex-snapshot
A Model for Bond Portfolio Improvement
inferredcites →https://doi.org/10.3386/w5489openalex-snapshot
Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
inferredcites →https://doi.org/10.3929/ethz-a-001891697openalex-snapshot
Maximum loss for measurement of market risk
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.2139/ssrn.325962openalex-extracted
Reward-Risk Portfolio Selection and Stochastic Dominance
inferred← citeshttps://doi.org/10.2139/ssrn.674622openalex-extracted
Option-Pricing in Incomplete Markets: The Hedging Portfolio Plus a Risk Premium-Based Recursive Approach
inferred← citeshttps://doi.org/10.1007/978-3-662-04790-3_1openalex-snapshot
Coherent Risk Measures on General Probability Spaces
inferred← citeshttps://doi.org/10.1007/bf03373658openalex-snapshot
Kohärente Risikomessung versus individuelle Akzeptanzmengen — Anmerkungen zum impliziten Risikoverständnis des “Conditional Value-at-Risk”
inferred← citeshttps://doi.org/10.1007/s10107-006-0714-8openalex-snapshot
Subdifferential representations of risk measures
inferred← citeshttps://doi.org/10.1016/j.jbankfin.2004.05.027openalex-snapshot
Reward–risk portfolio selection and stochastic dominance
inferred← citeshttps://doi.org/10.1111/j.1539-6924.2005.00684.xopenalex-snapshot
Measurement and Pricing of Risk in Insurance Markets
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