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  • Search: subject:"Cash-subadditivity"
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Year of publication
Subject
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Cash subadditivity 7 Discounting ambiguity 5 Model ambiguity 5 Quasiconvexity 5 BSDEs 4 Convex risk measures for processes 4 Decomposition of optional measures 4 Measurement 3 Messung 3 Risiko 3 Risikomaß 3 Risk 3 Risk measure 3 Risk measures 3 Theorie 3 Theory 3 Acceptance sets 2 Anleihe 2 Bank risk 2 Bankrisiko 2 Bond 2 Cash-subadditivity 2 Credit risk 2 Defaultable bonds 2 General eligible assets 2 Kreditrisiko 2 Portfolio selection 2 Portfolio-Management 2 Risikomanagement 2 Risk Measures 2 Risk management 2 Shortfall risk 2 Tail value-at-risk 2 Value-at-risk 2 cash subadditivity 2 Asymptotic safety 1 Bubbles 1 Cash flows 1 Cash-Subadditivity 1 Decision under uncertainty 1
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Online availability
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Undetermined 6 Free 4
Type of publication
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Article 6 Book / Working Paper 6
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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Undetermined 8 English 4
Author
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Penner, Irina 6 Farkas, Walter 3 Munari, Cosimo 3 Réveillac, Anthony 3 Acciaio, Beatrice 2 Barrieu, Pauline 2 Föllmer, Hans 2 Giammarino, Flavia 2 Koch Medina, Pablo 2 Cerreia-Vioglio, Simone 1 Koch-Medina, Pablo 1 Maccheroni, Fabio 1 Marinacci, Massimo 1 Montrucchio, Luigi 1 Reveillac, Anthony 1
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Institution
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Collegio Carlo Alberto, Università degli Studi di Torino 1 HAL 1 London School of Economics (LSE) 1 Université Paris-Dauphine (Paris IX) 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Finance and Stochastics 3 Finance and stochastics 2 Carlo Alberto Notebooks 1 Economics Papers from University Paris Dauphine 1 Journal of Mathematical Economics 1 LSE Research Online Documents on Economics 1 MPRA Paper 1 Research paper series / Swiss Finance Institute 1 Working Papers / HAL 1
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Source
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RePEc 9 ECONIS (ZBW) 3
Showing 1 - 10 of 12
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Indifference pricing with uncertainty averse preferences
Giammarino, Flavia; Barrieu, Pauline - Volkswirtschaftliche Fakultät, … - 2011
We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker’s attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...
Persistent link: https://www.econbiz.de/10011261061
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Risk Measures: Rationality and Diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - Collegio Carlo Alberto, Università degli Studi di Torino - 2008
bonds) the cash- additivity assumption on risk measures becomes problematic. When this assumption is weakened, to cash-subadditivity …
Persistent link: https://www.econbiz.de/10005013923
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Risk measures for processes and BSDEs
Penner, Irina; Reveillac, Anthony - HAL - 2013
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework...
Persistent link: https://www.econbiz.de/10010638975
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Indifference pricing with uncertainty averse preferences
Giammarino, Flavia; Barrieu, Pauline - In: Journal of Mathematical Economics 49 (2013) 1, pp. 22-27
We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker’s attitudes toward uncertainty. We obtain a characterization of comparative uncertainty...
Persistent link: https://www.econbiz.de/10010608647
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Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Acciaio, Beatrice; Föllmer, Hans; Penner, Irina - London School of Economics (LSE) - 2012
We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito et al. (Electron. J. Probab. 11(3):57–106, 2006). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss...
Persistent link: https://www.econbiz.de/10011071088
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Risk measures for processes and BSDEs
Réveillac, Anthony; Penner, Irina - Université Paris-Dauphine (Paris IX) - 2015
The paper analyzes risk assessment for cash flows in continuous time using the notion of convex risk measures for processes. By combining a decomposition result for optional measures, and a dual representation of a convex risk measure for bounded \cd processes, we show that this framework...
Persistent link: https://www.econbiz.de/10011115221
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Risk measures for processes and BSDEs
Penner, Irina; Réveillac, Anthony - In: Finance and Stochastics 19 (2015) 1, pp. 23-66
<Para ID="Par1">The paper analyzes risk assessment for cash flow processes in continuous time. We combine the framework of convex risk measures for processes with a decomposition result for optional and predictable measures to provide a systematic approach to the issues of model ambiguity and uncertainty about...</para>
Persistent link: https://www.econbiz.de/10011151668
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Risk measures for processes and BSDEs
Penner, Irina; Réveillac, Anthony - In: Finance and stochastics 19 (2015) 1, pp. 23-66
Persistent link: https://www.econbiz.de/10011417006
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Beyond cash-additive risk measures: when changing the numéraire fails
Farkas, Walter; Koch-Medina, Pablo; Munari, Cosimo - In: Finance and Stochastics 18 (2014) 1, pp. 145-173
measures on Orlicz spaces. We pay special attention to the property of cash subadditivity, which has been recently proposed as … cash subadditivity and show that when the eligible asset is a defaultable bond, cash subadditivity is the exception rather … no longer linear. We establish when the resulting risk measures are quasiconvex and show that cash subadditivity is only …
Persistent link: https://www.econbiz.de/10010997040
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
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