Acceptability indexes via g-expectations: an application to liquidity risk
DOI10.1007/S11579-013-0097-6zbMATH Open1273.91464OpenAlexW3123058226MaRDI QIDQ367373FDOQ367373
Authors: Emanuela Rosazza Gianin, Carlo Sgarra 
Publication date: 13 September 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-013-0097-6
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10) Financial applications of other theories (91G80)
Cites Work
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Cited In (14)
- Short communication: utility-based acceptability indices
- Good deal hedging and valuation under combined uncertainty about drift and volatility
- Two price economies in continuous time
- Dynamic Conic Finance via Backward Stochastic Difference Equations
- A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time
- Star-shaped acceptability indexes
- FROM BID-ASK CREDIT DEFAULT SWAP QUOTES TO RISK-NEUTRAL DEFAULT PROBABILITIES USING DISTORTED EXPECTATIONS
- Ranking of investment funds: acceptability versus robustness
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Dynamic quasi concave performance measures
- Acceptability maximization
- Perfect hedging under endogenous permanent market impacts
- Dynamic coherent acceptability indices and their applications to finance
- Acceptability indexes for portfolio vectors
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