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Stochastic dominance and risk measure : a decision-theoretic foundation for VaR and C-VaR
Ma, Chenghu; Wong, Wing Keung - In: European journal of operational research : EJOR 207 (2010) 2, pp. 927-935
Persistent link: https://www.econbiz.de/10008652647
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On convex risk measures on Lp-spaces
Kaina, M.; Rüschendorf, Ludger - In: Mathematical methods of operations research 69 (2009) 3, pp. 475-495
Persistent link: https://www.econbiz.de/10003858273
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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management
Landsman, Z.; Makov, U. - In: The European journal of finance 17 (2011) 3/4, pp. 307-320
Persistent link: https://www.econbiz.de/10009155400
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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
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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
Landsman, Zinoviy; Makov, Udi - In: Insurance / Mathematics & economics 50 (2012) 1, pp. 94-98
Persistent link: https://www.econbiz.de/10009501696
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Market price-based convex risk measures : a distribution-free optimization approach
Li, Jonathan Y.; Kwon, Roy H. - In: Operations research letters 40 (2012) 2, pp. 128-133
Persistent link: https://www.econbiz.de/10009507888
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Haezendonck-Goovaerts risk measures and Orlicz quantiles
Bellini, Fabio; Rosazza Gianin, Emanuela - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 107-114
Persistent link: https://www.econbiz.de/10009558264
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Optimality of general reinsurance contracts under CTE risk measure
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009242047
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Risk measures : rationality and diversification
Cerreia-Vioglio, Simone; Maccheroni, Fabio; Marinacci, … - In: Mathematical finance : an international journal of … 21 (2011) 4, pp. 743-774
Persistent link: https://www.econbiz.de/10009312216
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General dual measures of riskiness
Schulze, Klaas - In: Theory and decision : an international journal for … 78 (2015) 2, pp. 289-304
Persistent link: https://www.econbiz.de/10010513819