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Asymptotic behaviour of mean-quantile efficient portfolios
Dmitrašinović-Vidović, Gordana; Ware, Antony - In: Finance and stochastics 10 (2006) 4, pp. 529-551
Persistent link: https://www.econbiz.de/10003405648
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Stein's method and zero bias transformation for CDO tranche pricing
El Karoui, Nicole; Jiao, Y. - In: Finance and stochastics 13 (2009) 2, pp. 151-180
Persistent link: https://www.econbiz.de/10003939500
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Bounds for functions of dependent risks
Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
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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
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
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Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
Wang, Ruodu; Peng, Liang; Yang, Jingping - In: Finance and stochastics 17 (2013) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10009730805
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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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Comparative and qualitative robustness for law-invariant risk measures
Krätschmer, Volker; Schied, Alexander; Zähle, Henryk - In: Finance and stochastics 18 (2014) 2, pp. 271-295
Persistent link: https://www.econbiz.de/10010340784
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Risk measures with the CxLS property
Delbaen, Freddy; Bellini, Fabio; Bignozzi, Valeria; … - In: Finance and stochastics 20 (2016) 2, pp. 433-453
Persistent link: https://www.econbiz.de/10011471250