Acceptability indexes via \(g\)-expectations: an application to liquidity risk
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Publication:367373
DOI10.1007/s11579-013-0097-6zbMath1273.91464OpenAlexW3123058226MaRDI QIDQ367373
Emanuela Rosazza Gianin, Carlo Sgarra
Publication date: 13 September 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-013-0097-6
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)
Related Items (11)
Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ Ranking of investment funds: acceptability versus robustness ⋮ Acceptability maximization ⋮ Perfect hedging under endogenous permanent market impacts ⋮ Two price economies in continuous time ⋮ Dynamic quasi concave performance measures ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ Acceptability indexes for portfolio vectors ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time ⋮ FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS
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