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Red-blooded risk : the secret history of Wall Street

Brown, Aaron - 2012

Persistent link: https://www.econbiz.de/10009427753

Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints

Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184

Persistent link: https://www.econbiz.de/10012482845

Allocation of risk capital in a cost cooperative game induced by a modified expected shortfall

Bernardi, Mauro; Cerqueti, Roy; Palestini, Arsen - In: Journal of the Operational Research Society 72 (2021) 3, pp. 628-641

Persistent link: https://www.econbiz.de/10012500976

Red-Blooded Risk : The Secret History of Wall Street

Brown, Aaron - 2011 - 1st ed.

-- Principle VI: Superposition -- Principle VII: Game Theory -- Chapter 4: The Secret History of Wall Street: 1654-1982 -- Pascal … -- Chapter 5: When Harry Met Kelly -- Kelly -- Harry -- Commodity Futures -- If Harry Knew Kelly -- Investment Growth Theory … Money: The Future -- Farmers and Millers -- Money, New and Improved -- A General Theory of Money -- Value and Money …

Persistent link: https://www.econbiz.de/10012688591

Three essays on information and incentives

Bierbaum, Jürgen - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001749188

On the impossibility of fair risk allocation

Csóka, Péter; Pintér, Miklós - 2011

Measuring and allocating risk properly are crucial for performance evaluation and internal capital allocation of portfolios held by banks, insurance companies, investment funds and other entities subject to financial risk. We show that by using coherent measures of risk it is impossible to...