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One-parameter families of distortion risk measures
Tsukahara, Hideatsu - In: Mathematical finance : an international journal of … 19 (2009) 4, pp. 691-705
Persistent link: https://www.econbiz.de/10003937550
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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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Conditional Sharpe ratios
Chow, Victor K.; Lai, Christine W. - In: Finance research letters 12 (2015), pp. 117-133
Persistent link: https://www.econbiz.de/10011552289
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Bank insolvency risk and Z-score measures : a refinement
Lepetit, Lætitia; Strobel, Frank - In: Finance research letters 13 (2015), pp. 214-224
Persistent link: https://www.econbiz.de/10011552521
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Convex risk measures for good deal bounds
Arai, Takuji; Fukasawa, Masaaki - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 464-484
Persistent link: https://www.econbiz.de/10010484270
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Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463
Persistent link: https://www.econbiz.de/10010484275
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Schur convex functionals : Fatou property and representation
Grechuk, Bogdan; Zabarankin, Michael - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 411-418
Persistent link: https://www.econbiz.de/10009613189
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Risk horizon and rebalancing horizon in portfolio risk measurement
Glasserman, Paul - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 214-249
Persistent link: https://www.econbiz.de/10009613204
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Estimation of value at risk and ruin probability for diffusion processes with jumps
Denis, Laurent; Fernández, Begoña; Meda, Ana - In: Mathematical finance : an international journal of … 19 (2009) 2, pp. 281-302
Persistent link: https://www.econbiz.de/10003827581
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A short note on second-order stochastic dominance preserving coherent risk measures
Leitner, Johannes - In: Mathematical finance : an international journal of … 15 (2005) 4, pp. 649-651
Persistent link: https://www.econbiz.de/10003121136