OPTIMAL NUMERAIRES FOR RISK MEASURES

DOI10.1111/J.1467-9965.2007.00336.XzbMATH Open1133.91446OpenAlexW3021657372MaRDI QIDQ5459962FDOQ5459962

Authors: Damir Filipović 

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp187.pdf

Recommendations

• Local risk minimization and numéraire
• The numeraire portfolio for unbounded semimartingale
• The numéraire portfolio in semimartingale financial models
• Beyond cash-additive risk measures: when changing the numéraire fails
• Mean-variance hedging and numéraire

Mathematics Subject Classification ID

Cites Work

• Coherent measures of risk
• Convex measures of risk and trading constraints
• Risk Measures and Efficient use of Capital
• Monotone and cash-invariant convex functions and hulls

Cited In (15)

• Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?
• Asset pricing in an imperfect world
• On the price of risk in a mean-risk optimization model
• Title not available (Why is that?)
• Optimal martingale measures for defaultable assets
• On the optimal risk allocation problem
• Title not available (Why is that?)
• Optimal Design of Dynamic Default Risk Measures
• Capital requirements with defaultable securities
• Designing options given the risk: The optimal Skorokhod-embedding problem
• Title not available (Why is that?)
• Best bounds for expected financial payoffs. II: Applications
• Beyond cash-additive risk measures: when changing the numéraire fails
• A stable aggregate currency revisited: highlighting some fundamental issues
• Satisficing Measures for Analysis of Risky Positions

This page was built for publication: OPTIMAL NUMERAIRES FOR RISK MEASURES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5459962)