Generalized coherent risk measures

MaRDI QIDQ3551118zbMATH OpenFDO

Authors Christos E. Kountzakis

Publication date 15 April 2010

Full work available at URL http://www.m-hikari.com/ams/ams-password-2009/ams-password49-52-2009/index.html

zbMATH Keywords

cofinal subspacecofinal wedgehedging subspacepremium functional

Mathematics Subject Classification ID

Ordered topological linear spaces, vector lattices (46A40) Ordered normed spaces (46B40) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(18)

• Measuring risk with multiple eligible assets
• Time consistency for scalar multivariate risk measures
• Risk measures in ordered normed linear spaces with non-empty cone-interior
• A comparison of techniques for dynamic multivariate risk measures
• Dynamic coherent acceptability indices and their applications to finance
• COHERENT RISK MEASURES FOR DERIVATIVES UNDER BLACK–SCHOLES ECONOMY
• Coherent risk measures in general economic models and price bubbles
• From isotonic Banach functionals to coherent risk measures
• scientific article; zbMATH DE number 1795842 (Why is no real title available?)
• scientific article; zbMATH DE number 1795125 (Why is no real title available?)
• A supermartingale relation for multivariate risk measures
• scientific article; zbMATH DE number 6311426 (Why is no real title available?)
• Scalar multivariate risk measures with a single eligible asset
• Coherent risk measures
• Coherent risk measures and good-deal bounds
• Coherent Risk Measures Derived from Utility Functions
• Relevant coherent measures of risk
• Coherent risk measures, coherent capital allocations and the gradient allocation principle

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