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Dynamic risk measures : time consistency and risk measures from BMO martingales
Bion-Nadal, Jocelyne - In: Finance and stochastics 12 (2008) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10003716264
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina R. - In: Finance and stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
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Optimal capital and risk allocations for law- and cash-invariant convex functions
Filipović, Damir; Svindland, Gregor - In: Finance and stochastics 12 (2008) 3, pp. 423-439
Persistent link: https://www.econbiz.de/10003899207
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Multivariate risks and depth-trimmed regions
Cascos, Ignacio; Molchanov, Ilya - In: Finance and stochastics 11 (2007) 3, pp. 373-397
Persistent link: https://www.econbiz.de/10003485812
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Optimal risk sharing with non-monotone monetary functionals
Acciaio, Beatrice - In: Finance and stochastics 11 (2007) 2, pp. 267-289
Persistent link: https://www.econbiz.de/10003439763
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Dilatation monotone risk measures are law invariant
Cherny, Alexander S.; Grigoriev, Pavel G. - In: Finance and stochastics 11 (2007) 2, pp. 291-298
Persistent link: https://www.econbiz.de/10003439765
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Risk-neutral compatibility with option prices
Jacod, Jean; Protter, Philip E. - In: Finance and stochastics 14 (2010) 2, pp. 285-315
Persistent link: https://www.econbiz.de/10003951511
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On a class of law invariant convex risk measures
Angelsberg, Gilles; Delbaen, Freddy; Kaelin, Ivo; … - In: Finance and stochastics 15 (2011) 2, pp. 343-363
Persistent link: https://www.econbiz.de/10009159083
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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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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030