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A model-free identification of relative risk
Kuzmina, Olga - In: Economics letters 190 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012228132
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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
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Diversification and bank stability
Liang, Shuo; Moreira, Fernando; Lee, Joosung - In: Economics letters 193 (2020), pp. 1-3
Persistent link: https://www.econbiz.de/10012509107
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Valuing an investment project using no-arbitrage and the alpha-maxmin criteria : from Knightian uncertainty to risk
Braouezec, Yann; Joliet, Robert - In: Economics letters 178 (2019), pp. 111-115
Persistent link: https://www.econbiz.de/10012121654
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More on minimal entropy-Hellinger martingale measure
Choulli, Tahir; Stricker, Christophe - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003336776
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Constrained optimization with respect to stochastic dominance : application to portfolio insurance
El Karoui, Nicole; Meziou, Asma - In: Mathematical finance : an international journal of … 16 (2006) 1, pp. 103-117
Persistent link: https://www.econbiz.de/10003336865
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Risk-reward optimization with discrete-time coherent risk
Cherny, Alexander S. - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 571-595
Persistent link: https://www.econbiz.de/10008666990
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Tractable robust expected utility and risk models for portfolio optimization
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 695-731
Persistent link: https://www.econbiz.de/10008667625
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Local risk minimization for defaultable markets
Biagini, Francesca; Cretarola, Alessandra - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 669-689
Persistent link: https://www.econbiz.de/10003937549
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Optimal portfolios with lower partial moment constraints and LPM-risk-optimal martingale measures
Leitner, Johannes - In: Mathematical finance : an international journal of … 18 (2008) 2, pp. 317-331
Persistent link: https://www.econbiz.de/10003683293