Benchmarking in two price financial markets

Author:

Madan Dilip B.

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Reference46 articles.

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2. Artzner, P., Delbaen, F., Eber, M., Heath, D.: Coherent measures of Risk. Math. Finance 9, 203–228 (1999)

3. Bakshi, G., Madan, D., Panayotov, G.: Returns of claims on the upside and the viability of U-shaped pricing kernels. J Financ Econ 97, 130–154 (2010)

4. Bayraktar, E., Zhang, Y.: Fundamental theorem of asset pricing under transaction costs and model uncertainty. Math Oper Res (2013). doi: 10.2139/ssrn.2392001

5. Bion-Nadal, J.: Dynamic risk measures: time consistency and risk measures from BMO martingales. Finance Stoch 12, 219–244 (2008)

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