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Cited in
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- Binomial approximations of shortfall risk for game options
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- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- A PDE approach to risk measures of derivatives
- On Bayesian value at risk: from linear to non-linear portfolios
- Dynamic coherent risk measures
- Financial options and statistical prediction intervals
- On the existence of an efficient hedge for an American contingent claim within a discrete time market
- Optimal portfolio management with American capital guarantee
- A framework for dynamic hedging under convex risk measures
- Option pricing with transaction costs using a Markov chain approximation
- Robust optimal portfolio choice under Markovian regime-switching model
- An HMM approach for optimal investment of an insurer
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- Dynamic coherent acceptability indices and their applications to finance
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- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
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- Risk measures and return performance: a critical approach.
- On stochastic optimal control for stock price volatility
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- Dynamic risk measures under model uncertainty
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- A stochastic differential game for optimal investment of an insurer with regime switching
- Economic neutral position: how to best replicate not fully replicable liabilities?
- Shortfall risk minimization versus symmetric (quadratic) hedging
- Partial super-hedging of derivatives with model risk
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- The efficient hedging problem for American options
- Cooperative hedging with a higher interest rate for borrowing
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- The Iterated Cte
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- Generalized Neyman-Pearson lemma via convex duality.
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- Dynamic programming and hedging strategies in discrete time
- Methods of partial hedging
- Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
- Insurance valuation: a computable multi-period cost-of-capital approach
- Partial hedging in financial markets with a large agent
- Mean-expectile portfolio selection
- Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
- Conservative delta hedging.
- OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
- Risk measures via \(g\)-expectations
- Minimizing shortfall risk and applications to finance and insurance problems
- Cooperative hedging in the complete market under \(g\)-expectation constraint
- Optimal partial hedging of an American option: shifting the focus to the expiration date
- Bayesian Risk Measures for Derivatives via Random Esscher Transform
- Dynamic Minimization of Worst Conditional Expectation of Shortfall
- Multidimensional dynamic risk measure via conditional \(g\)-expectation
- scientific article; zbMATH DE number 1918615 (Why is no real title available?)
- scientific article; zbMATH DE number 1789932 (Why is no real title available?)
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