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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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Approximating large diversified portfolios
Hofmann, Norbert; Platen, Eckhard - In: Mathematical finance : an international journal of … 10 (2000) 1, pp. 77-88
Persistent link: https://www.econbiz.de/10002177158
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Optimal capital and risk transfers for group diversification
Filipović, Damir; Kupper, Michael - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 55-76
Persistent link: https://www.econbiz.de/10003643466
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Behavioral portfolio selection : asymptotics and stability along a sequence of models
Reichlin, Christian - In: Mathematical finance : an international journal of … 26 (2016) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10011550130
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An online portfolio selection algorithm with regret logarithmic in price variation
Hazan, Elad; Kale, Satyen - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 288-310
Persistent link: https://www.econbiz.de/10011350635
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Sensitivity analysis of nonlinear behavior with distorted probability
Cao, Xi-Ren; Wan, Xiangwei - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 115-150
Persistent link: https://www.econbiz.de/10011739450
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Asymptotic arbitrage and numéraire portfolios in large financial markets
Rochlin, Dmitri B. - In: Finance and stochastics 12 (2008) 2, pp. 173-194
Persistent link: https://www.econbiz.de/10003716254
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Long run forward rates and long yields of bonds and options in heterogeneous equilibria
Malamud, Semyon - In: Finance and stochastics 12 (2008) 2, pp. 245-264
Persistent link: https://www.econbiz.de/10003716265
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The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis; Kardaras, Constantinos - In: Finance and stochastics 11 (2007) 4, pp. 447-493
Persistent link: https://www.econbiz.de/10003645513
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Pricing and hedging European options with discrete-time coherent risk
Cherny, Alexander S. - In: Finance and stochastics 11 (2007) 4, pp. 537-569
Persistent link: https://www.econbiz.de/10003645530