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Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673
Persistent link: https://www.econbiz.de/10011583787
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Multivariate risk measures : a constructive approach based on selections
Molčanov, Il'ja S.; Cascos, Ignacio - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 867-900
Persistent link: https://www.econbiz.de/10011583808
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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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Dynamic coherent acceptability indices and their applications to finance
Bielecki, Tomasz R.; Cialenco, Igor; Zhang, Zhao - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 411-441
Persistent link: https://www.econbiz.de/10010484294
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Portfolio value-at-risk with heavy-tailed risk factors
Glasserman, Paul; Heidelberger, Philip; Shahabuddin, Perwez - In: Mathematical finance : an international journal of … 12 (2002) 3, pp. 239-269
Persistent link: https://www.econbiz.de/10001686394
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Maximizing the growth rate under risk constraints
Pirvu, Traian A.; Žitković, Gordan - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 423-455
Persistent link: https://www.econbiz.de/10003882789
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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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Optimal portfolios with bounded capital at risk
Emmer, Susanne; Klüppelberg, Claudia; Korn, Ralf - In: Mathematical finance : an international journal of … 11 (2001) 4, pp. 365-384
Persistent link: https://www.econbiz.de/10001620446
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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