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A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Bielecki, Tomasz R.; Cialenco, Igor; Pitera, Marcin - In: Mathematics of operations research 43 (2018) 1, pp. 204-221
Persistent link: https://www.econbiz.de/10011818748
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Unbiased estimation of risk
Pitera, Marcin; Schmidt, Thorsten - In: Journal of banking & finance 91 (2018), pp. 133-145
Persistent link: https://www.econbiz.de/10011963654
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Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Pitera, Marcin; Stettner, Łukasz - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1287-1313
Persistent link: https://www.econbiz.de/10014370659
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Long run risk sensitive portfolio with general factors
Pitera, Marcin; Stettner, Łukasz - In: Mathematical methods of operations research 83 (2016) 2, pp. 265-293
Persistent link: https://www.econbiz.de/10011673660
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Estimating and backtesting risk under heavy tails
Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013264930