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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Derivative"
~subject:"Risikomaß"
~type:"article"
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Derivative
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Portfolio selection
177
Portfolio-Management
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Theorie
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Incomplete market
27
Stochastic process
27
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Unvollkommener Markt
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Glasserman, Paul
2
Arai, Takuji
1
Bielecki, Tomasz R.
1
Bo, Lijun
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Broda, Simon A.
1
Capponi, Agostino
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Cascos, Ignacio
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Cerreia-Vioglio, Simone
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Cont, Rama
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Insurance / Mathematics & economics
109
Journal of banking & finance
91
European journal of operational research : EJOR
73
Journal of risk
57
Risks : open access journal
46
Finance research letters
45
Quantitative finance
39
International journal of theoretical and applied finance
38
Economic modelling
34
International review of financial analysis
33
The North American journal of economics and finance : a journal of financial economics studies
33
Journal of risk and financial management : JRFM
32
Journal of economic dynamics & control
29
The European journal of finance
27
Finance and stochastics
26
Applied economics
25
Computational economics
21
The journal of asset management
21
Journal of empirical finance
20
International review of economics & finance : IREF
19
Research in international business and finance
18
The journal of risk model validation
18
Energy economics
17
Management science : journal of the Institute for Operations Research and the Management Sciences
17
The journal of futures markets
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Operations research
16
Scandinavian actuarial journal
15
The journal of credit risk : published quarterly by Incisive Media
15
International journal of financial engineering
14
Journal of financial economics
14
Journal of international financial markets, institutions & money
14
Journal of mathematical finance
14
Journal of risk management in financial institutions
14
International journal of forecasting
13
Journal of econometrics
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Annals of finance
12
Journal of financial and quantitative analysis : JFQA
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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1
Option pricing and hedging with execution costs and market impact
Guéant, Olivier
;
Pu, Jiang
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 803-831
Persistent link: https://www.econbiz.de/10011764978
Saved in:
2
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
Saved in:
3
Optimal investment in credit derivatives portfolio under contagion risk
Bo, Lijun
;
Capponi, Agostino
- In:
Mathematical finance : an international journal of …
26
(
2016
)
4
,
pp. 785-834
Persistent link: https://www.econbiz.de/10011583805
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
Dynamic coherent acceptability indices and their applications to finance
Bielecki, Tomasz R.
;
Cialenco, Igor
;
Zhang, Zhao
- In:
Mathematical finance : an international journal of …
24
(
2014
)
3
,
pp. 411-441
Persistent link: https://www.econbiz.de/10010484294
Saved in:
8
Recovering portfolio default intensities implied by CDO quotes
Cont, Rama
;
Minca, Andreea
- In:
Mathematical finance : an international journal of …
23
(
2013
)
1
,
pp. 94-121
Persistent link: https://www.econbiz.de/10009712557
Saved in:
9
Risk horizon and rebalancing horizon in portfolio risk measurement
Glasserman, Paul
- In:
Mathematical finance : an international journal of …
22
(
2012
)
2
,
pp. 214-249
Persistent link: https://www.econbiz.de/10009613204
Saved in:
10
The Expected Shortfall of quadratic portfolios with heavy-tailed risk factors
Broda, Simon A.
- In:
Mathematical finance : an international journal of …
22
(
2012
)
4
,
pp. 710-728
Persistent link: https://www.econbiz.de/10009614939
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