DOI10.1137/09078033XzbMath1232.46067arXiv1001.3644MaRDI QIDQ3006712
Marco Maggis, Marco Frittelli
Publication date: 21 June 2011
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.3644
Fatou closedness under model uncertainty,
Portfolio Optimization with Quasiconvex Risk Measures,
Acceptability indexes via \(g\)-expectations: an application to liquidity risk,
Risk-hedging a European option with a convex risk measure and without no-arbitrage condition,
From concentration profiles to concentration maps. New tools for the study of loss distributions,
Disentangling price, risk and model risk: V\&R measures,
Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals,
Conditionally evenly convex sets and evenly quasi-convex maps,
Capital allocation rules and acceptance sets,
Capital allocation à la Aumann-Shapley for non-differentiable risk measures,
Stochastic dynamic utilities and intertemporal preferences,
Dynamic assessment indices,
Convex risk functionals: representation and applications,
Conditional \(L_{p}\)-spaces and the duality of modules over \(f\)-algebras,
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective,
Weak topologies for modules over rings of bounded random variables,
Time-consistency of risk measures: how strong is such a property?,
Conditional Systemic Risk Measures,
Quasiconvex risk statistics with scenario analysis,
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures,
RISK MEASURES ON P(R) AND VALUE AT RISK WITH PROBABILITY/LOSS FUNCTION
