Pages that link to "Item:Q2507604"

The following pages link to Risk measures via \(g\)-expectations (Q2507604):

Displaying 50 items.

• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time (Q2038277) (← links)
• Stochastic ordering by \(g\)-expectations (Q2038280) (← links)
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps (Q2041006) (← links)
• Continuous-time limits of multi-period cost-of-capital margins (Q2063033) (← links)
• High order one-step methods for backward stochastic differential equations via Itô-Taylor expansion (Q2090362) (← links)
• Practical partial equilibrium framework for pricing of mortality-linked instruments in continuous time (Q2157224) (← links)
• Characterization of fully coupled FBSDE in terms of portfolio optimization (Q2184583) (← links)
• Dynkin game under \(g\)-expectation in continuous time (Q2189342) (← links)
• Backward doubly stochastic Volterra integral equations and their applications (Q2189775) (← links)
• A generalized stochastic differential utility driven by \(G\)-Brownian motion (Q2190068) (← links)
• Locally Lipschitz BSDE driven by a continuous martingale a path-derivative approach (Q2238894) (← links)
• Quantifying ambiguity bounds via time-consistent sets of indistinguishable models (Q2242978) (← links)
• Generalized entropic risk measures and related BSDEs (Q2244447) (← links)
• Dynkin's formula under the \(G\)-expectation (Q2267636) (← links)
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions (Q2268728) (← links)
• Fair valuation of insurance liability cash-flow streams in continuous time: theory (Q2273988) (← links)
• \(L^1\) solutions of non-reflected BSDEs and reflected BSDEs with one and two continuous barriers under general assumptions (Q2274207) (← links)
• Representation theorems for WVaR with respect to a capacity (Q2288804) (← links)
• A branching particle system approximation for a class of FBSDEs (Q2296088) (← links)
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective (Q2296091) (← links)
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance (Q2301492) (← links)
• Representation theorems for generators of BSDEs and the extended \(g\)-expectations in probability spaces with general filtration (Q2308363) (← links)
• Retracted: Sublinear expectation nonlinear regression for the financial risk measurement and management (Q2312223) (← links)
• Time-consistency of risk measures: how strong is such a property? (Q2331015) (← links)
• BSDEs with weak terminal condition (Q2338910) (← links)
• Continuous dependence property of BSDE with constraints (Q2344469) (← links)
• Arrow sufficient conditions for optimality of fully coupled forward-backward stochastic differential equations with applications to finance (Q2347578) (← links)
• Jensen's inequality for \(g\)-convex function under \(g\)-expectation (Q2380767) (← links)
• On the integral representation of \(g\)-expectations with terminal constraints (Q2400639) (← links)
• On Jensen's inequality, Hölder's inequality, and Minkowski's inequality for dynamically consistent nonlinear evaluations (Q2405780) (← links)
• Better than pre-committed optimal mean-variance policy in a jump diffusion market (Q2407984) (← links)
• The least squares estimator of random variables under sublinear expectations (Q2408605) (← links)
• \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps (Q2408993) (← links)
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (Q2412393) (← links)
• Dynamic risk measures for processes via backward stochastic differential equations (Q2415962) (← links)
• BSDEs driven by time-changed Lévy noises and optimal control (Q2436795) (← links)
• Some properties of \(g\)-convex functions (Q2441132) (← links)
• The Neyman-Pearson lemma under \(g\)-probability (Q2472990) (← links)
• Convexity, translation invariance and subadditivity for \(g\)-expectations and related risk measures (Q2476405) (← links)
• Risk measures via \(g\)-expectations (Q2507604) (← links)
• Nonlinear equity valuation using conic finance and its regulatory implications (Q2633451) (← links)
• Time-consistent evaluation of credit risk with contagion (Q2667125) (← links)
• A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems (Q2794008) (← links)
• A risk-based approach for pricing American options under a generalized Markov regime-switching model (Q2866377) (← links)
• BSDEs with Time-Delayed Generators of a Moving Average Type with Applications to Non-Monotone Preferences (Q2904313) (← links)
• Backward Stochastic Difference Equations with Finite States (Q2909972) (← links)
• A general comparison theorem for backward stochastic differential equations (Q3059700) (← links)
• A BSDE Approach to Convex Risk Measures for Derivative Securities (Q3145066) (← links)
• Utility maximization under<font><i>g</i>*</font>-expectation (Q3185982) (← links)
• REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS (Q3191838) (← links)