Approaches to conditional risk
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Publication:4902220
DOI10.1137/090773076zbMATH Open1255.91178OpenAlexW3023199949MaRDI QIDQ4902220FDOQ4902220
Authors: Damir Filipović, Michael Kupper, Nicolas Vogelpoth 
Publication date: 25 January 2013
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090773076
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Cited In (24)
- Worst portfolios for dynamic monetary utility processes
- Randomized versions of Mazur lemma and Krein-Šmulian theorem
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- A characterization of the vector lattice of measurable functions
- Recent progress in random metric theory and its applications to conditional risk measures
- Complete duality for quasiconvex dynamic risk measures on modules of the \(L^p\)-type
- The algebra of conditional sets and the concepts of conditional topology and compactness
- Conditional Analysis and a Principal-Agent Problem
- Conditional systemic risk measures
- Risk arbitrage and hedging to acceptability under transaction costs
- Golden options in financial mathematics
- Hilbert \(A\)-modules
- The conditional Haezendonck-Goovaerts risk measure
- A Boolean valued analysis approach to conditional risk
- Conditional Risk Mappings
- Real-valued conditional convex risk measures in \(L^p (\mathcal F, \mathbb R)\)
- Conditional \(L_{p}\)-spaces and the duality of modules over \(f\)-algebras
- Optimal portfolio selection via conditional convex risk measures on \(L ^{p }\)
- Parameter-dependent stochastic optimal control in finite discrete time
- Measures and integrals in conditional set theory
- Lattice modules over rings of bounded random variables
- Conditionally evenly convex sets and evenly quasi-convex maps
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