Gain-loss based convex risk limits in discrete-time trading (Q693201): Difference between revisions

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@@ description / en / description / en @@
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+scientific article; zbMATH DE number 6113982
@@ Property / DOI @@
-.1007/s10287-010-0122-7
@@ Property / DOI: 10.1007/s10287-010-0122-7 / rank @@
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@@ Property / author @@
-Mustafa Ç. Pınar
@@ Property / author: Mustafa Ç. Pınar / rank @@
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+Mustafa Ç. Pınar
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+Prospect theory and asset prices
@@ Property / cites work: Prospect theory and asset prices / rank @@
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@@ Property / cites work @@
+Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
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+Towards a General Theory of Good-Deal Bounds*
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+Pricing and hedging European options with discrete-time coherent risk
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+Stochastic finance. An introduction in discrete time
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+Prospect Theory: An Analysis of Decision under Risk
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+Duality and martingales: a stochastic programming perspective on contingent claims
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+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
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+Satisfying convex risk limits by trading
@@ Property / cites work: Satisfying convex risk limits by trading / rank @@
+Normal rank
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+Q4905685
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+Pricing early exercise contracts in incomplete markets
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+Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
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+Gain-loss pricing under ambiguity of measure
@@ Property / cites work: Gain-loss pricing under ambiguity of measure / rank @@
+Normal rank
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+COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
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+Optimization of Convex Risk Functions
@@ Property / cites work: Optimization of Convex Risk Functions / rank @@
+Normal rank
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+Fundamental Theorems of Asset Pricing for Good Deal Bounds
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+Risk measure pricing and hedging in incomplete markets
+Normal rank
@@ Property / DOI @@
+.1007/S10287-010-0122-7
@@ Property / DOI: 10.1007/S10287-010-0122-7 / rank @@
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+Satisfying convex risk limits by trading
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+Convex measures of risk and trading constraints
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+Equal risk pricing under convex trading constraints
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+Hedging in discrete time under transaction costs and continuous-time limit
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