Beyond Cash-Additive Risk Measures: When Changing the Numeraire Fails
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Cited by:
- Felix-Benedikt Liebrich & Gregor Svindland, 2019. "Risk sharing for capital requirements with multidimensional security markets," Finance and Stochastics, Springer, vol. 23(4), pages 925-973, October.
- Niushan Gao & Denny H. Leung & Foivos Xanthos, 2016. "Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures," Papers 1610.08806, arXiv.org, revised Jun 2017.
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Keywords
risk measures; acceptance sets; general eligible assets; defaultable bonds; cash subadditivity; quasiconvexity; Value-at-Risk; Tail Value-at-Risk; shortfall risk;All these keywords.
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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