Weighted V\@R and its properties

DOI10.1007/s00780-006-0009-1zbMath1101.91023OpenAlexW1994728611MaRDI QIDQ854285

Alexander S. Cherny

Publication date: 8 December 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-006-0009-1

zbMATH Keywords

coherent risk measuresdetermining setcapital allocationspectral risk measuresdistorted measureminimal extreme measureno-good-deals pricingstrict diversificationTail V\@RWeighted V\@R

Mathematics Subject Classification ID

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Cites Work

• Axiomatic characterization of insurance prices
• Core of convex distortions of a probability.
• Optimality conditions in portfolio analysis with general deviation measures
• Coherent Measures of Risk
• Differentiability Properties of Utility Functions
• Pricing with Coherent Risk
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• General Arbitrage Pricing Model: I – Probability Approach
• Stochastic finance. An introduction in discrete time
• Coherent risk measures and good-deal bounds
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