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Set-valued risk measures for c...
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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
Saved in:
2
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
Saved in:
3
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
4
The stability of the banking sector and credit default swaps
Heyde, Frank
;
Neyer, Ulrike
-
2007
Persistent link: https://www.econbiz.de/10003379298
Saved in:
5
Set-valued duality theory for multiple objective linear programs and application to mathematical finance
Heyde, Frank
;
Löhne, Andreas
;
Tammer, Christiane
- In:
Mathematical methods of operations research
69
(
2009
)
1
,
pp. 159-179
Persistent link: https://www.econbiz.de/10003858104
Saved in:
6
The attainment of the solution of the dual program in vertices for vectorial linear programs
Heyde, Frank
;
Löhne, Andreas
;
Tammer, Christiane
- In:
Multiobjective programming and goal programming : …
,
(pp. 13-24)
.
2009
Persistent link: https://www.econbiz.de/10003841775
Saved in:
7
Set relations via families of scalar functions and approximate solutions in set optimization
Crespi, Giovanni Paolo
;
Hamel, Andreas
;
Rocca, Matteo
; …
- In:
Mathematics of operations research
46
(
2021
)
1
,
pp. 361-381
Persistent link: https://www.econbiz.de/10012498199
Saved in:
8
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:
9
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
Saved in:
10
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
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