CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
From MaRDI portal
Publication:2875725
DOI10.1111/mafi.12020zbMath1314.91131arXiv1108.1273OpenAlexW2165853397MaRDI QIDQ2875725
Publication date: 11 August 2014
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.1273
Orlicz spaceconvex risk measurefundamental theorem of asset pricinggood deal boundrisk indifference price
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Market consistent valuations with financial imperfection ⋮ Robustness of Delta Hedging in a Jump-Diffusion Model ⋮ Fundamental theorem of asset pricing with acceptable risk in markets with frictions ⋮ Perfect hedging under endogenous permanent market impacts ⋮ GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Булевозначный подход к анализу условного риска ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk measure pricing and hedging in incomplete markets
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Arbitrage and equilibrium in economies with infinitely many commodities
- Convex measures of risk and trading constraints
- On the super replication price of unbounded claims
- Satisfying convex risk limits by trading
- The mathematics of arbitrage
- INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
- Good Deal Bounds Induced by Shortfall Risk
- RISK MEASURES ON ORLICZ HEARTS
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Dynamic utility-based good deal bounds
- Law invariant risk measures have the Fatou property
- RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS
- Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- Towards a General Theory of Good-Deal Bounds*
- Coherent risk measures and good-deal bounds
This page was built for publication: CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
