Pricing with Coherent Risk

DOI10.1137/S0040585X97983158zbMath1148.91026OpenAlexW2072362917MaRDI QIDQ3532119

Alexander S. Cherny

Publication date: 3 November 2008

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97983158

zbMATH Keywords

generatortransaction costssupport functioncapital allocationcoherent risk measurerisk-neutral measurerisk contributionextreme measureRAROCno good dealstail V\@Rweighted V\@R

Mathematics Subject Classification ID

Related Items (14)

RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK ⋮ Existence and uniqueness of martingale solutions to option pricing equations with noise ⋮ COHERENT RISK MEASURE ON L0: NA CONDITION, PRICING AND DUAL REPRESENTATION ⋮ Weighted V\@R and its properties ⋮ Hedging, Pareto optimality, and good deals ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ An elementary proof of the dual representation of expected shortfall ⋮ Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Pricing and hedging basis risk under no good deal assumption ⋮ A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK ⋮ Risk arbitrage and hedging to acceptability under transaction costs ⋮ Pricing under dynamic risk measures

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