Let X be a family of stochastic processes on a general filtered probability space (omega,F, F,P). Under the assumption that the set of equivalent martingale measures for X is not empty, we give sufficient conditions for the existence of a unique equivalent martingale measure which minimizes the...

This paper defines the value of a general claim based on agent's preferences and coherent with the No Arbitrage Principle. ThisValue is a non trivial extension of the certainty equivalent since it takes into consideration the possibility of partially hedging the risk carried by the claim. When...

This online appendix provides additional examples, proofs, and technical derivations.The paper "Scientific Research Measures" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2287672" http://ssrn.com/abstract=2287672

The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the interconnectedness of the system entities and the corresponding...