A supermartingale relation for multivariate risk measures (Q4619535): Difference between revisions

@@ Property / OpenAlex ID @@
+W2964213230
@@ Property / OpenAlex ID: W2964213230 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.05561
@@ Property / arXiv ID: 1510.05561 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Risk Measures
@@ Property / cites work: Dynamic Risk Measures / rank @@
+Normal rank
@@ Property / cites work @@
+SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES
@@ Property / cites work: SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate Shortfall Risk Allocation and Systemic Risk
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+Risk Measures and Efficient use of Capital
@@ Property / cites work: Risk Measures and Efficient use of Capital / rank @@
+Normal rank
@@ Property / cites work @@
+VECTOR-VALUED COHERENT RISK MEASURE PROCESSES
@@ Property / cites work: VECTOR-VALUED COHERENT RISK MEASURE PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+A unified approach to systemic risk measures via acceptance sets
+Normal rank
@@ Property / cites work @@
+Time consistent dynamic risk processes
@@ Property / cites work: Time consistent dynamic risk processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4679086
@@ Property / cites work: Q4679086 / rank @@
+Normal rank
@@ Property / cites work @@
+MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS
+Normal rank
@@ Property / cites work @@
+COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+Q5294265
@@ Property / cites work: Q5294265 / rank @@
+Normal rank
@@ Property / cites work @@
+Representation of the penalty term of dynamic concave utilities
+Normal rank
@@ Property / cites work @@
+Conditional and dynamic convex risk measures
@@ Property / cites work: Conditional and dynamic convex risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring risk with multiple eligible assets
@@ Property / cites work: Measuring risk with multiple eligible assets / rank @@
+Normal rank
@@ Property / cites work @@
+Time consistency of dynamic risk measures in markets with transaction costs
+Normal rank
@@ Property / cites work @@
+A Comparison of Techniques for Dynamic Multivariate Risk Measures
+Normal rank
@@ Property / cites work @@
+Multi-portfolio time consistency for set-valued convex and coherent risk measures
+Normal rank
@@ Property / cites work @@
+A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
+Normal rank
@@ Property / cites work @@
+Measures of Systemic Risk
@@ Property / cites work: Measures of Systemic Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Optional decompositions under constraints
@@ Property / cites work: Optional decompositions under constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Convex risk measures and the dynamics of their penalty functions
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic finance. An introduction in discrete time.
+Normal rank
@@ Property / cites work @@
+Q3526970
@@ Property / cites work: Q3526970 / rank @@
+Normal rank
@@ Property / cites work @@
+RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
+Normal rank
@@ Property / cites work @@
+Intragroup transfers, intragroup diversification and their risk assessment
+Normal rank
@@ Property / cites work @@
+A duality theory for set-valued functions. I: Fenchel conjugation theory
+Normal rank
@@ Property / cites work @@
+Duality for Set-Valued Measures of Risk
@@ Property / cites work: Duality for Set-Valued Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Set Optimization—A Rather Short Introduction
@@ Property / cites work: Set Optimization—A Rather Short Introduction / rank @@
+Normal rank
@@ Property / cites work @@
+Set-valued risk measures for conical market models
+Normal rank
@@ Property / cites work @@
+Q5506135
@@ Property / cites work: Q5506135 / rank @@
+Normal rank
@@ Property / cites work @@
+Set-valued average value at risk and its computation
+Normal rank
@@ Property / cites work @@
+Directional derivatives and subdifferentials of set-valued convex functions
+Normal rank
@@ Property / cites work @@
+Continuity concepts for set-valued functions and a fundamental duality formula for set-valued optimization
+Normal rank
@@ Property / cites work @@
+Q4367585
@@ Property / cites work: Q4367585 / rank @@
+Normal rank
@@ Property / cites work @@
+Vector-valued coherent risk measures
@@ Property / cites work: Vector-valued coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Hedging and liquidation under transaction costs in currency markets
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+Stochastic differential inclusions and applications.
+Normal rank
@@ Property / cites work @@
+Q4456991
@@ Property / cites work: Q4456991 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4456992
@@ Property / cites work: Q4456992 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3551118
@@ Property / cites work: Q3551118 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit theorems and applications of set-valued and fuzzy set-valued random variables
+Normal rank
@@ Property / cites work @@
+AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Theory of Random Sets
@@ Property / cites work: Theory of Random Sets / rank @@
+Normal rank
@@ Property / cites work @@
+Q3549501
@@ Property / cites work: Q3549501 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic coherent risk measures
@@ Property / cites work: Dynamic coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Conditional Risk Mappings
@@ Property / cites work: Conditional Risk Mappings / rank @@
+Normal rank
@@ Property / cites work @@
+The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
+Normal rank
@@ Property / cites work @@
+The theory of fuzzy stochastic processes
@@ Property / cites work: The theory of fuzzy stochastic processes / rank @@
+Normal rank
@@ Property / cites work @@
+Liquidity-adjusted risk measures
@@ Property / cites work: Liquidity-adjusted risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Q3715941
@@ Property / cites work: Q3715941 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q129709230
@@ Property / Wikidata QID: Q129709230 / rank @@
+Normal rank