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Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Mathematics and financial economics 9 (2015) 2, pp. 149-167
Persistent link: https://www.econbiz.de/10011349444
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Portfolio optimization with quasiconvex risk measures
Mastrogiacomo, Elisabetta; Rosazza Gianin, Emanuela - In: Mathematics of operations research 40 (2015) 4, pp. 1042-1059
Persistent link: https://www.econbiz.de/10011409050
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Time-consistency of risk measures : how strong is such a property?
Mastrogiacomo, Elisa; Rosazza Gianin, Emanuela - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 287-317
Persistent link: https://www.econbiz.de/10012065238
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Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675
Persistent link: https://www.econbiz.de/10011812548
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Robust return risk measures
Bellini, Fabio; Laeven, Roger J. A.; Rosazza Gianin, … - In: Mathematics and financial economics 12 (2018) 1, pp. 5-32
Persistent link: https://www.econbiz.de/10011963258
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Dynamic convex risk measures
Fritelli, Marco; Rosazza Gianin, Emanuela - In: Risk measures for the 21st century, (pp. 227-248). 2004
Persistent link: https://www.econbiz.de/10002081538
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Haezendonck-Goovaerts risk measures and Orlicz quantiles
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 107-114
Persistent link: https://www.econbiz.de/10009558264
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Generalized quantiles as risk measures
Bellini, Fabio; Klar, Bernhard; Müller, Alfred; … - In: Insurance / Mathematics & economics 54 (2014), pp. 41-48
Persistent link: https://www.econbiz.de/10010259683
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Putting order in risk measures
Fritelli, Marco; Rosazza Gianin, Emanuela - In: Journal of banking & finance 26 (2002) 7, pp. 1473-1486
Persistent link: https://www.econbiz.de/10001688663
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On Haezendonck risk measures
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Journal of banking & finance 32 (2008) 6, pp. 986-994
Persistent link: https://www.econbiz.de/10003733781