On Dynamic Spectral Risk Measures and a Limit Theorem-Reference-Cited by-同舟云学术

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On Dynamic Spectral Risk Measures and a Limit Theorem

Published:2015 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Madan Dilip B.,Pistorius Martijn,Stadje Mitja

Publisher

Elsevier BV

Reference73 articles.

1. Spectral measures of risk: A coherent representation of subjective risk aversion;C Acerbi;Journal of Banking & Finance,2002

2. On the coherence of expected shortfall;C Acerbi;Journal of Banking & Finance,2002

3. Coherent measures of risk;P Artzner;Mathematical Finance,1999

4. Coherent multiperiod risk adjusted values and Bellmans principle;P Artzner;Annals of Operations Research,2007

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Measure distorted arrival rate risks and their rewards;Probability, Uncertainty and Quantitative Risk;2017-06-26

2. Discrete-time option pricing with stochastic liquidity;Journal of Banking & Finance;2017-02

3. Conic Option Pricing;SSRN Electronic Journal;2017

4. Benchmarking in two price financial markets;Annals of Finance;2016-04-27

5. Dynamic conic hedging for competitiveness;Mathematics and Financial Economics;2016-03-10

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