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  • Search: subject:"Acceptance sets"
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Year of publication
Subject
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Theorie 11 Theory 11 Acceptance sets 10 Portfolio selection 10 Portfolio-Management 10 Risikomaß 10 Risk measure 10 Risiko 9 Risikomanagement 9 Risk 9 Risk management 9 Measurement 8 Messung 8 Risk measures 7 acceptance sets 6 Bank risk 4 Bankrisiko 4 Credit risk 4 Kreditrisiko 4 Tail Value-at-Risk 4 Value-at-Risk 4 Basel Accord 3 Basler Akkord 3 Capital requirements 3 Eligible assets 3 Kapitalbedarf 3 risk measures 3 Allocation 2 Allokation 2 Anleihe 2 Bond 2 Capital adequacy 2 Cash subadditivity 2 Defaultable bonds 2 Defaultable securities 2 Derivat 2 Derivative 2 General eligible assets 2 Option pricing theory 2 Optionspreistheorie 2
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Online availability
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Undetermined 13 Free 1
Type of publication
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Article 13 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9 Arbeitspapier 3 Graue Literatur 3 Non-commercial literature 3 Working Paper 3 Collection of articles of several authors 1 Collection of articles written by one author 1 Hochschulschrift 1 Sammelwerk 1 Sammlung 1 research-article 1
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Language
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English 14 Undetermined 3
Author
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Farkas, Walter 8 Koch Medina, Pablo 6 Munari, Cosimo 5 Munari, Cosimo-Andrea 5 Koch-Medina, Pablo 3 Dorfleitner, Gregor 2 Gerer, Johannes 2 Svindland, Gregor 2 Anthropelos, Michail 1 Canna, Gabriele 1 Centrone, Francesca 1 Gao, Niushan 1 Liebrich, Felix-Benedikt 1 Moresco, Marlon Ruoso 1 Righi, Marcelo Brutti 1 Rosazza Gianin, Emanuela 1 Smirnow, Alexander 1 Žitković, Gordan 1
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Published in...
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Research paper series / Swiss Finance Institute 3 Finance and stochastics 2 Insurance / Mathematics & economics 2 Mathematics and financial economics 2 Annals of Finance 1 Finance and Stochastics 1 Insurance: Mathematics and Economics 1 Mathematics of operations research 1 Operations research letters 1 Review of derivatives research 1 Statistics & Risk Modeling 1 Swiss Finance Institute Research Paper 1
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Source
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ECONIS (ZBW) 13 RePEc 3 Other ZBW resources 1
Showing 1 - 10 of 17
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Risk sharing for capital requirements with multidimensional security markets
Liebrich, Felix-Benedikt; Svindland, Gregor - In: Finance and stochastics 23 (2019) 4, pp. 925-973
Persistent link: https://www.econbiz.de/10012114664
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Star-Shaped deviations
Righi, Marcelo Brutti; Moresco, Marlon Ruoso - In: Operations research letters 50 (2022) 5, pp. 548-554
Persistent link: https://www.econbiz.de/10013449444
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Essays on derivatives pricing in incomplete markets
Gerer, Johannes - 2016
Persistent link: https://www.econbiz.de/10012128861
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Surplus-invariant risk measures
Gao, Niushan; Munari, Cosimo-Andrea - In: Mathematics of operations research 45 (2020) 4, pp. 1342-1370
Persistent link: https://www.econbiz.de/10012320322
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Capital allocation rules and acceptance sets
Canna, Gabriele; Centrone, Francesca; Rosazza Gianin, … - In: Mathematics and financial economics 14 (2020) 4, pp. 759-781
Persistent link: https://www.econbiz.de/10012321876
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Time consistent pricing of options with embedded decisions
Dorfleitner, Gregor; Gerer, Johannes - In: Review of derivatives research 23 (2020) 1, pp. 85-119
Persistent link: https://www.econbiz.de/10012229784
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Which eligible assets are compatible with comonotonic capital requirements?
Koch Medina, Pablo; Munari, Cosimo-Andrea; Svindland, Gregor - In: Insurance / Mathematics & economics 81 (2018), pp. 18-26
Persistent link: https://www.econbiz.de/10011904606
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Intrinsic risk measures
Farkas, Walter; Smirnow, Alexander - 2016 - First version: October 26, 2016
cones and a dual representation on convex acceptance sets and we detail the connections of intrinsic risk measures to their …
Persistent link: https://www.econbiz.de/10011620033
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Measuring risk with multiple eligible assets
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo-Andrea - In: Mathematics and financial economics 9 (2015) 1, pp. 3-27
Persistent link: https://www.econbiz.de/10010500704
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Law-invariant risk measures: Extension properties and qualitative robustness
Koch-Medina, Pablo; Munari, Cosimo - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 215-236
Abstract We characterize when a convex risk measure associated to a law-invariant acceptance set in L ∞ can be extended to L p , $1\le p<\infty $ , preserving finiteness and continuity . This problem is strongly connected to the statistical robustness of the corresponding risk measures....
Persistent link: https://www.econbiz.de/10014621226
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