Good deals in markets with friction
From MaRDI portal
Publication:5397420
DOI10.1080/14697688.2013.780132zbMath1281.91138MaRDI QIDQ5397420
Beatriz Balbás, Raquel Balbás, Alejandro Balbas
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10016/18157
risk measure; portfolio choice model; stochastic discount factor; good deal; perfect and imperfect market
Related Items
Good deals and benchmarks in robust portfolio selection, Optimal reinsurance under risk and uncertainty on Orlicz hearts, Pareto efficient buy and hold investment strategies under order book linked constraints, Optimal reinsurance under risk and uncertainty, Exhibiting abnormal returns under a risk averse strategy
Cites Work
- Are quantile risk measures suitable for risk-transfer decisions?
- Optimal joint survival reinsurance: an efficient frontier approach
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
- Some new classes of consistent risk measures
- Actuarial risk measures for financial derivative pricing
- Convex measures of risk and trading constraints
- Martingales and arbitage in securities markets with transaction costs
- Entropic value-at-risk: a new coherent risk measure
- Relevant mappings
- Generalized deviations in risk analysis
- Coherent Measures of Risk
- Do financial returns have finite or infinite variance? A paradox and an explanation
- Good Deal Bounds Induced by Shortfall Risk
- Satisficing Measures for Analysis of Risky Positions
- An Economic Index of Riskiness
- Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Fundamental Theorems of Asset Pricing for Good Deal Bounds
- THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L1
- THE MEANING OF MARKET EFFICIENCY
