OPTIMAL NUMERAIRES FOR RISK MEASURES

DOI10.1111/J.1467-9965.2007.00336.XMaRDI QIDQ5459962zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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Cites work

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

Cited in

(15)

• Capital requirements with defaultable securities
• Comment on Hovanov, Kolari and Sokolov: a stable currency numeraire?
• Optimal martingale measures for defaultable assets
• scientific article; zbMATH DE number 2133102 (Why is no real title available?)
• On the price of risk in a mean-risk optimization model
• A stable aggregate currency revisited: highlighting some fundamental issues
• Optimal Design of Dynamic Default Risk Measures
• Beyond cash-additive risk measures: when changing the numéraire fails
• Satisficing Measures for Analysis of Risky Positions
• On the optimal risk allocation problem
• Designing options given the risk: The optimal Skorokhod-embedding problem
• Asset pricing in an imperfect world
• scientific article; zbMATH DE number 4113816 (Why is no real title available?)
• Best bounds for expected financial payoffs. II: Applications
• scientific article; zbMATH DE number 5641890 (Why is no real title available?)

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