RISK-REWARD OPTIMIZATION WITH DISCRETE-TIME COHERENT RISK
From MaRDI portal
Publication:3161735
DOI10.1111/j.1467-9965.2010.00412.xzbMath1232.91614OpenAlexW1594067030MaRDI QIDQ3161735
Publication date: 15 October 2010
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00412.x
dynamic coherent risk measureconditionally Gaussian modeldynamic weighted V\(\@\)Rrisk-reward optimization
Related Items
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
Cites Work
- Dynamic monetary risk measures for bounded discrete-time processes
- Weighted V\@R and its properties
- Risk capital allocation by coherent risk measures based on one-sided moments.
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- Pricing and hedging European options with discrete-time coherent risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
- Convex risk measures and the dynamics of their penalty functions
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Pricing with Coherent Risk
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Stochastic finance. An introduction in discrete time
