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Time consistency for scalar mu...
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ECONIS (ZBW)
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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
Saved in:
2
A supermartingale relation for multivariate risk measures
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 1971-1990
Persistent link: https://www.econbiz.de/10012262932
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3
Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
Saved in:
4
Financial contagion and asset liquidation strategies
Feinstein, Zachary
- In:
Operations research letters
45
(
2017
)
2
,
pp. 109-114
Persistent link: https://www.econbiz.de/10011687611
Saved in:
5
Capital regulation under price impacts and dynamic financial contagion
Feinstein, Zachary
- In:
European journal of operational research : EJOR
281
(
2020
)
2
,
pp. 449-463
Persistent link: https://www.econbiz.de/10012153704
Saved in:
6
Set-valued risk measures for conical market models
Hamel, Andreas
;
Heyde, Frank
;
Rudloff, Birgit
- In:
Mathematics and financial economics
5
(
2011
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10009160246
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7
Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Rudloff, Birgit
;
Street, Alexandre
;
Valladão, Davi M.
- In:
European journal of operational research : EJOR
234
(
2014
)
3
,
pp. 743-750
Persistent link: https://www.econbiz.de/10010360424
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8
An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
Löhne, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
17
(
2014
)
2
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010363905
Saved in:
9
Time consistency of the mean-risk problem
Kováčová, Gabriela
;
Rudloff, Birgit
- In:
Operations research
69
(
2021
)
4
,
pp. 1100-1117
Persistent link: https://www.econbiz.de/10012625134
Saved in:
10
Set-valued average value at risk and its computation
Hamel, Andreas
;
Rudloff, Birgit
;
Yankova, Mihaela
- In:
Mathematics and financial economics
7
(
2013
)
2
,
pp. 229-246
Persistent link: https://www.econbiz.de/10009736855
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