Narrow search
Showing 1 - 10 of 10
Cover Image
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
Cover Image
A supermartingale relation for multivariate risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Quantitative finance 18 (2018) 12, pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932
Cover Image
Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary; Rudloff, Birgit - In: Mathematics of operations research 47 (2022) 2, pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
Cover Image
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
Cover Image
Set-valued risk measures for conical market models
Hamel, Andreas; Heyde, Frank; Rudloff, Birgit - In: Mathematics and financial economics 5 (2011) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009160246
Cover Image
Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Cover Image
Dual representations for systemic risk measures
Ararat, Çağın; Rudloff, Birgit - In: Mathematics and financial economics 14 (2020) 1, pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
Cover Image
Elicitability and identifiability of set-valued measures of systemic risk
Fissler, Tobias; Hlavinová, Jana; Rudloff, Birgit - In: Finance and stochastics 25 (2021) 1, pp. 133-165
Persistent link: https://www.econbiz.de/10012433518
Cover Image
Set-valued risk measures as backward stochastic difference inclusions and equations
Ararat, Çağın; Feinstein, Zachary - In: Finance and stochastics 25 (2021) 1, pp. 43-76
Persistent link: https://www.econbiz.de/10012433511
Cover Image
Set-valued dynamic risk measures for processes and for vectors
Chen, Yanhong; Feinstein, Zachary - In: Finance and stochastics 26 (2022) 3, pp. 505-533
Persistent link: https://www.econbiz.de/10013440234