| Publication | Date of Publication | Type |
|---|
Collective dynamic risk measures
Frontiers of Mathematical Finance | 2024-11-26 | Paper |
Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
Probability, Uncertainty and Quantitative Risk | 2024-09-30 | Paper |
On entropy martingale optimal transport theory
Decisions in Economics and Finance | 2024-08-01 | Paper |
Law-invariant return and star-shaped risk measures
Insurance Mathematics & Economics | 2024-07-17 | Paper |
Short Communication: Are Shortfall Systemic Risk Measures One Dimensional?
SIAM Journal on Financial Mathematics | 2024-01-29 | Paper |
Law-Invariant Return and Star-Shaped Risk Measures
| 2023-10-30 | Paper |
Mathematical Finance
UNITEXT | 2023-08-02 | Paper |
Generalized PELVE and applications to risk measures
European Actuarial Journal | 2023-07-13 | Paper |
Dynamic Return and Star-Shaped Risk Measures via BSDEs
| 2023-07-07 | Paper |
Capital allocation for cash-subadditive risk measures: from BSDEs to BSVIEs
| 2023-05-16 | Paper |
Fully-dynamic risk measures: horizon risk, time-consistency, and relations with BSDEs and BSVIEs
| 2023-01-12 | Paper |
Quasi-Logconvex Measures of Risk
| 2022-07-25 | Paper |
Dynamic capital allocation rules via BSDEs: an axiomatic approach
| 2021-12-16 | Paper |
Haezendonck-Goovaerts capital allocation rules
Insurance Mathematics & Economics | 2021-11-19 | Paper |
The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
Probability, Uncertainty and Quantitative Risk | 2021-07-06 | Paper |
Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
European Journal of Operational Research | 2021-06-07 | Paper |
Capital allocation rules and acceptance sets
Mathematics and Financial Economics | 2021-05-03 | Paper |
Risk measures and progressive enlargement of filtration: a BSDE approach
SIAM Journal on Financial Mathematics | 2020-11-07 | Paper |
Capital allocation for set-valued risk measures
International Journal of Theoretical and Applied Finance | 2020-03-26 | Paper |
Time-consistency of risk measures: how strong is such a property?
Decisions in Economics and Finance | 2019-10-23 | Paper |
Capital allocation à la Aumann-Shapley for non-differentiable risk measures
European Journal of Operational Research | 2018-07-25 | Paper |
Robust return risk measures
Mathematics and Financial Economics | 2018-03-01 | Paper |
Loss-averse preferences and portfolio choices: an extension
European Journal of Operational Research | 2016-10-07 | Paper |
Dual representation of minimal supersolutions of convex BSDEs
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2016-06-27 | Paper |
Portfolio optimization with quasiconvex risk measures
Mathematics of Operations Research | 2016-01-29 | Paper |
Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
Mathematics and Financial Economics | 2015-04-29 | Paper |
Generalized quantiles as risk measures
Insurance Mathematics & Economics | 2014-06-23 | Paper |
Haezendonck-Goovaerts risk measures and Orlicz quantiles
Insurance Mathematics & Economics | 2014-04-10 | Paper |
Acceptability indexes via \(g\)-expectations: an application to liquidity risk
Mathematics and Financial Economics | 2013-09-13 | Paper |
Mathematical finance: theory review and exercises. From binomial model to risk measures. Translated from the Italian
UNITEXT | 2013-08-07 | Paper |
Risk measures and Pareto style tails
| 2012-05-30 | Paper |
Representation of the penalty term of dynamic concave utilities
Finance and Stochastics | 2011-11-27 | Paper |
On the penalty function and on continuity properties of risk measures
International Journal of Theoretical and Applied Finance | 2011-03-30 | Paper |
Optimal portfolios with Haezendonck risk measures
Statistics & Decisions | 2009-01-09 | Paper |
Law invariant convex risk measures
| 2008-09-25 | Paper |
Esercizi di finanza matematica
UNITEXT | 2007-06-28 | Paper |
Risk measures via \(g\)-expectations
Insurance Mathematics & Economics | 2006-10-05 | Paper |
Cash non-additive risk measures: horizon risk and generalized entropy
| N/A | Paper |
