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~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~subject:"Risk measure"
~type:"article"
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Risk measure
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Glasserman, Paul
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Mathematical finance : an international journal of mathematics, statistics and financial theory
Insurance / Mathematics & economics
105
Journal of banking & finance
77
European journal of operational research : EJOR
60
Journal of risk
57
Finance research letters
44
Risks : open access journal
44
Quantitative finance
37
Economic modelling
31
International review of financial analysis
31
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of risk and financial management : JRFM
26
International journal of theoretical and applied finance
22
Applied economics
20
Journal of economic dynamics & control
20
Computational economics
19
Journal of empirical finance
19
The European journal of finance
19
The journal of risk model validation
19
Finance and stochastics
18
International review of economics & finance : IREF
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Operations research
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Research in international business and finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The journal of asset management
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International journal of forecasting
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Journal of econometrics
13
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
11
Journal of forecasting
11
Journal of risk management in financial institutions
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Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Mathematics and financial economics
11
Operations research letters
11
International journal of financial engineering
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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Mathematics of operations research
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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
Saved in:
8
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
Saved in:
9
Maximizing the growth rate under risk constraints
Pirvu, Traian A.
;
Žitković, Gordan
- In:
Mathematical finance : an international journal of …
19
(
2009
)
3
,
pp. 423-455
Persistent link: https://www.econbiz.de/10003882789
Saved in:
10
Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul
;
Heidelberger, Philip
;
Shahabuddin, Perwez
- In:
Mathematical finance : an international journal of …
12
(
2002
)
3
,
pp. 239-269
Persistent link: https://www.econbiz.de/10001686394
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