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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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On the definition of risk
Lemos, Filipe - In: Journal of risk management in financial institutions 13 (2019/2020) 3, pp. 266-278
Persistent link: https://www.econbiz.de/10012300957
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Comparing local risks by acceptance and rejection
Schreiber, Amnon - In: Mathematical finance : an international journal of … 26 (2016) 2, pp. 412-430
Persistent link: https://www.econbiz.de/10011577169
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Superhedging and dynamic risk measures under volatility uncertainty
Nutz, Marcel; Soner, Halil Mete - 2010
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist …
Persistent link: https://www.econbiz.de/10008797677
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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10011544966
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Berücksichtigung des Zinsänderungsrisikos bei der Neubewertung am Risikohorizont in Kreditportfoliomodellen
Grundke, Peter - In: Journal of business economics : JBE 72 (2002) 12, pp. 1241-1267
Persistent link: https://www.econbiz.de/10001720930
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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2003
Persistent link: https://www.econbiz.de/10001748020
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Mean-variance, mean-VaR, and mean-CVaR models for portfolio selection with background risk
Guo, Xu; Chan, Raymond H.; Wong, Wing Keung; Zhu, Lixing - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 2, pp. 73-98
Persistent link: https://www.econbiz.de/10012060286
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Decision making with convex risk measures: theoretical foundations and applications to finance and insurance
Rischau, Robert - 2018
Persistent link: https://www.econbiz.de/10011897637
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Heterogeneity of investors and asset pricing in a risk-value world
Franke, Günter; Weber, Martin - 2001
Persistent link: https://www.econbiz.de/10001635448