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Search: subject:"Convex risk measures"
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Risiko
36
Risk
36
Risikomaß
34
Risk measure
34
Theorie
34
Measurement
32
Messung
32
Theory
30
Convex risk measures
28
Portfolio-Management
18
convex risk measures
18
Portfolio selection
17
Risikomanagement
14
Risk management
14
Decision under risk
11
Entscheidung unter Risiko
11
Nutzenfunktion
7
Uncertainty
7
Utility function
7
BSDEs
6
Dynamic Convex Risk Measures
6
Mathematical programming
6
Mathematische Optimierung
6
Risikomodell
6
Risk model
6
Time consistency
6
Time-Consistency
6
portfolio optimization
6
Blackwell-Dubins
5
Cash subadditivity
5
Discounting ambiguity
5
Dynamic convex risk measures
5
Erwartungsnutzen
5
Model ambiguity
5
Robust statistics
5
Robustes Verfahren
5
Stochastic process
5
Stochastischer Prozess
5
Zeitkonsistenz
5
Aggregation
4
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Undetermined
45
Free
20
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Article
60
Book / Working Paper
17
Other
2
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Article in journal
36
Aufsatz in Zeitschrift
36
Working Paper
5
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1
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1
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English
50
Undetermined
29
Author
All
Engelage, Daniel
7
Penner, Irina
7
Rosazza Gianin, Emanuela
7
Bier, Monika
5
Laeven, Roger J. A.
5
Stadje, Mitja
4
Wang, Ruodu
4
Acciaio, Beatrice
3
Centrone, Francesca
3
Föllmer, Hans
3
Krätschmer, Volker
3
Réveillac, Anthony
3
Schied, Alexander
3
Bignozzi, Valeria
2
Boţ, Radu
2
Brown, David B.
2
Delbaen, Freddy
2
Frătean, Alina-Ramona
2
Herzberg, Frederik
2
Jiang, Xiao
2
Maier-Paape, Stanislaus
2
Puccetti, Giovanni
2
Rüschendorf, Ludger
2
Sim, Melvyn
2
Svindland, Gregor
2
Zhu, Qiji Jim
2
Angelsberg, Gilles
1
Assa, Hirbod
1
BROWN, David B.
1
Bellini, Fabio
1
Bernard, Carole
1
Bernhard, Carole
1
Bickel, J. Eric
1
Boonen, Tim J.
1
Brown, David
1
Burzoni, Matteo
1
Cai, Jun
1
Canna, Gabriele
1
Carbonneau, Alexandre
1
Cherny, Alexander
1
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
University of Bonn, Germany
2
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
1
HAL
1
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
London School of Economics (LSE)
1
School of Economics and Political Science, Universität St. Gallen
1
Tilburg University, Center for Economic Research
1
Université Paris-Dauphine (Paris IX)
1
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Finance and Stochastics
8
Mathematics of operations research
6
Mathematics and financial economics
5
Bonn Econ Discussion Papers
4
Insurance
3
Insurance: Mathematics and Economics
3
Decisions in Economics and Finance
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Economic theory bulletin
2
European journal of operational research : EJOR
2
Finance and stochastics
2
International journal of theoretical and applied finance
2
Operations research letters
2
Quantitative finance
2
SFB 649 Discussion Papers
2
Annals of finance
1
Application of operations research to financial markets
1
Applied Mathematical Finance
1
Computational Statistics
1
Discussion Paper / Tilburg University, Center for Economic Research
1
Economics Papers from University Paris Dauphine
1
European Journal of Operational Research
1
IMA journal of management mathematics
1
INFORMS journal on computing : JOC
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
LSE Research Online Documents on Economics
1
Management Science
1
Mathematical Methods of Operations Research
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Operations research
1
Quantitative Finance
1
Research paper series / Swiss Finance Institute
1
Risks
1
Risks : open access journal
1
SFB 649 Discussion Paper
1
Scandinavian actuarial journal
1
Statistics & Decisions
1
Statistics & Risk Modeling
1
Swiss Finance Institute Research Paper Series
1
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Source
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ECONIS (ZBW)
38
RePEc
32
EconStor
5
BASE
2
Other ZBW resources
2
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1
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79
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date (oldest first)
1
ρ-arbitrage and ρ-consistent pricing for star-shaped risk measures
Herdegen, Martin
;
Khan, Nazem
- In:
Mathematics of operations research
50
(
2025
)
2
,
pp. 1555-1583
Persistent link: https://www.econbiz.de/10015444126
Saved in:
2
Equal risk pricing and hedging of financial derivatives with
convex
risk
measures
Marzban, Saeed
;
Delage, Erick
;
Li, Jonathan Yu-Meng
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 47-73
Persistent link: https://www.econbiz.de/10012872521
Saved in:
3
Bowley vs. Pareto optima in reinsurance contracting
Boonen, Tim J.
;
Ghossoub, Mario
- In:
European journal of operational research : EJOR
307
(
2023
)
1
,
pp. 382-391
Persistent link: https://www.econbiz.de/10014292989
Saved in:
4
Adjusted expected shortfall
Burzoni, Matteo
;
Munari, Cosimo-Andrea
;
Wang, Ruodu
-
2020
We introduce and study the main properties of a class of
convex
risk
measures
that refine Expected Shortfall by …
Persistent link: https://www.econbiz.de/10012421451
Saved in:
5
Capital allocation rules and acceptance sets
Canna, Gabriele
;
Centrone, Francesca
;
Rosazza Gianin, …
- In:
Mathematics and financial economics
14
(
2020
)
4
,
pp. 759-781
Persistent link: https://www.econbiz.de/10012321876
Saved in:
6
Weighted scoring rules and
convex
risk
measures
Smith, Zachary J.
;
Bickel, J. Eric
- In:
Operations research
70
(
2022
)
6
,
pp. 3371-3385
Persistent link: https://www.econbiz.de/10014307829
Saved in:
7
A general framework for portfolio theory. Part II: Drawdown risk measures
Maier-Paape, Stanislaus
;
Zhu, Qiji Jim
- In:
Risks
6
(
2018
)
3
,
pp. 1-31
The aim of this paper is to provide several examples of
convex
risk
measures
necessary for the application of the …
Persistent link: https://www.econbiz.de/10011996634
Saved in:
8
A general framework for portfolio theory : part II: drawdown risk measures
Maier-Paape, Stanislaus
;
Zhu, Qiji Jim
- In:
Risks : open access journal
6
(
2018
)
3
,
pp. 1-31
The aim of this paper is to provide several examples of
convex
risk
measures
necessary for the application of the …
Persistent link: https://www.econbiz.de/10011890765
Saved in:
9
Two price economic equilibria and financial market bid/ask prices
Elliott, Robert J.
;
Madan, Dilip B.
;
Siu, Tak Kuen
- In:
Annals of finance
17
(
2021
)
1
,
pp. 27-43
Persistent link: https://www.econbiz.de/10012489935
Saved in:
10
Preferences over rich sets of random variables : on the incompatibility of convexity and semicontinuity in measure
Zimper, Alexander
;
Assa, Hirbod
- In:
Mathematics and financial economics
15
(
2021
)
2
,
pp. 353-380
Persistent link: https://www.econbiz.de/10012500030
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