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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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Risk metrics and fine tuning of high-frequency trading strategies
Cartea, Álvaro; Jaimungal, Sebastian - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 576-611
Persistent link: https://www.econbiz.de/10011350564
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Utility maximization under model uncertainty in discrete time
Nutz, Marcel - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 252-268
Persistent link: https://www.econbiz.de/10011577139
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Benchmarked risk minimization
Du, Ke; Platen, Eckhard - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 617-637
Persistent link: https://www.econbiz.de/10011583786
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Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673
Persistent link: https://www.econbiz.de/10011583787
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Multivariate risk measures : a constructive approach based on selections
Molčanov, Il'ja S.; Cascos, Ignacio - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 867-900
Persistent link: https://www.econbiz.de/10011583808
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On arbitrage and duality under model uncertainty and portfolio constraints
Bayraktar, Erhan; Zhou, Zhou - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 988-1012
Persistent link: https://www.econbiz.de/10011765002
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463
Persistent link: https://www.econbiz.de/10010484275