Approaches to conditional risk

DOI10.1137/090773076MaRDI QIDQ4902220zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

conditional risk measures\(L^0\)-modules\(L^p\)-type modulescash invariant hullsmonotone hullssubcash invariant hulls

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

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Cited in

(24)

• Conditionally evenly convex sets and evenly quasi-convex maps
• Worst portfolios for dynamic monetary utility processes
• Randomized versions of Mazur lemma and Krein-Šmulian theorem
• The relations among the three kinds of conditional risk measures
• Stability in locally \(L^{0}\)-convex modules and a conditional version of James' compactness theorem
• Recent progress in random metric theory and its applications to conditional risk measures
• A characterization of the vector lattice of measurable functions
• Duality and stable compactness in Orlicz-type modules
• Complete duality for quasiconvex dynamic risk measures on modules of the L^p-type
• Conditional Analysis and a Principal-Agent Problem
• The algebra of conditional sets and the concepts of conditional topology and compactness
• 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

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