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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
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A set optimization approach to utility maximization under transaction costs
Hamel, Andreas; Calder-Wang, Sophie - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 257-275
Persistent link: https://www.econbiz.de/10011997740
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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
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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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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