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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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The numéraire property and long-term growth optimality for drawdown-constrained investments
Kardaras, Constantinos; Obłój, Jan; Platen, Eckhard - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 68-95
Persistent link: https://www.econbiz.de/10011739443
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Local risk minimization for defaultable markets
Biagini, Francesca; Cretarola, Alessandra - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 669-689
Persistent link: https://www.econbiz.de/10003937549
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Correlation under stress in normal variance mixture models
Kalkbrener, Michael; Packham, Natalie - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 426-456
Persistent link: https://www.econbiz.de/10011350602
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Default risk insurance and incomplete markets
Artzner, Philippe - In: Mathematical finance : an international journal of … 5 (1995) 3, pp. 187-195
Persistent link: https://www.econbiz.de/10001188680
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Coherence and elicitability
Ziegel, Johanna F. - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 901-918
Persistent link: https://www.econbiz.de/10011583809
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Principal component value at risk
Brummelhuis, R.; Córdoba, A.; Quintanilla, M.; Seco, … - In: Mathematical finance : an international journal of … 12 (2002) 1, pp. 23-43
Persistent link: https://www.econbiz.de/10001686154
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A family of term-structure models for long-term risk management and derivative pricing
Cairns, Andrew - In: Mathematical finance : an international journal of … 14 (2004) 3, pp. 415-444
Persistent link: https://www.econbiz.de/10002125567
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Classical and impulse stochastic control for the optimization of the dividend and risk policies of an insurance firm
Cadenillas, Abel; Choulli, Tahir; Taskar, Michael; … - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 181-202
Persistent link: https://www.econbiz.de/10003336870