IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v10y2006i3p367-393.html
   My bibliography  Save this item

Weighted V@R and its Properties

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Chuancun Yin & Dan Zhu, 2015. "New class of distortion risk measures and their tail asymptotics with emphasis on VaR," Papers 1503.08586, arXiv.org, revised Mar 2016.
  2. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany.
  3. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
  4. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
  5. Martin Herdegen & Nazem Khan, 2020. "Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures," Papers 2009.05498, arXiv.org, revised Jul 2021.
  6. Grechuk, Bogdan, 2015. "The center of a convex set and capital allocation," European Journal of Operational Research, Elsevier, vol. 243(2), pages 628-636.
  7. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
  8. Brandtner, Mario, 2018. "Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 138-149.
  9. Tomasz R. Bielecki & Igor Cialenco & Hao Liu, 2023. "Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions," Papers 2309.02570, arXiv.org, revised Sep 2023.
  10. Wächter, Hans Peter & Mazzoni, Thomas, 2013. "Consistent modeling of risk averse behavior with spectral risk measures," European Journal of Operational Research, Elsevier, vol. 229(2), pages 487-495.
  11. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2016. "A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective," Papers 1603.09030, arXiv.org, revised Jan 2017.
  12. Griselda Deelstra & Michèle Vanmaele & David Vyncke, 2010. "Minimizing the Risk of a Financial Product Using a Put Option," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(4), pages 767-800, December.
  13. Mario Brandtner, 2016. "Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke," Management Review Quarterly, Springer, vol. 66(2), pages 75-115, April.
  14. Weiwei Li & Dejian Tian, 2023. "Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty," Papers 2304.04396, arXiv.org.
  15. Jun Zhao & Emmanuel Lépinette & Peibiao Zhao, 2019. "Pricing under dynamic risk measures," Post-Print hal-02135232, HAL.
  16. Georg Pflug & Nancy Wozabal, 2010. "Asymptotic distribution of law-invariant risk functionals," Finance and Stochastics, Springer, vol. 14(3), pages 397-418, September.
  17. Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
  18. Patrick Cheridito & Tianhui Li, 2009. "Risk Measures On Orlicz Hearts," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 189-214, April.
  19. Martin Herdegen & Nazem Khan, 2022. "Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 226-272, January.
  20. Bogdan Grechuk & Andrzej Palczewski & Jan Palczewski, 2018. "On the solution uniqueness in portfolio optimization and risk analysis," Papers 1810.11299, arXiv.org, revised Oct 2020.
  21. Alexander Cherny & Damir Filipovi'c, 2011. "Concave Distortion Semigroups," Papers 1104.0508, arXiv.org.
  22. Balbás, Alejandro & Balbás, Raquel & Garrido, José, 2010. "Extending pricing rules with general risk functions," European Journal of Operational Research, Elsevier, vol. 201(1), pages 23-33, February.
  23. Alexander S. Cherny, 2009. "Capital Allocation And Risk Contribution With Discrete‐Time Coherent Risk," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 13-40, January.
  24. Shuo Gong & Yijun Hu & Linxiao Wei, 2022. "Distortion risk measures in random environments: construction and axiomatic characterization," Papers 2211.00520, arXiv.org, revised Mar 2023.
  25. Li, Jing & Xu, Mingxin, 2009. "Minimizing Conditional Value-at-Risk under Constraint on Expected Value," MPRA Paper 26342, University Library of Munich, Germany, revised 25 Oct 2010.
  26. Yuan, Hongmin & Jiang, Long & Tian, Dejian, 2020. "Representation theorems for WVaR with respect to a capacity," Statistics & Probability Letters, Elsevier, vol. 158(C).
  27. Brandtner, Mario, 2013. "Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5526-5537.
  28. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera & Thorsten Schmidt, 2019. "Fair Estimation of Capital Risk Allocation," Papers 1902.10044, arXiv.org, revised Nov 2019.
  29. Marcelo Brutti Righi & Paulo Sergio Ceretta, 2015. "Shortfall Deviation Risk: An alternative to risk measurement," Papers 1501.02007, arXiv.org, revised May 2016.
  30. Sun, Xianming & Gan, Siqing & Vanmaele, Michèle, 2015. "Analytical approximation for distorted expectations," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 246-252.
  31. Johannes Siven & Rolf Poulsen, 2009. "Auto-static for the people: risk-minimizing hedges of barrier options," Review of Derivatives Research, Springer, vol. 12(3), pages 193-211, October.
  32. Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model of Central Counterparty Risk," Papers 1803.02012, arXiv.org.
  33. Jing Li & Mingxin Xu, 2013. "Optimal Dynamic Portfolio with Mean-CVaR Criterion," Risks, MDPI, vol. 1(3), pages 1-29, November.
  34. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio, 2022. "Risk transference constraints in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 27-40.
  35. Lin, Feng & Peng, Liang & Xie, Jiehua & Yang, Jingping, 2018. "Stochastic distortion and its transformed copula," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 148-166.
  36. Pichler, Alois, 2013. "The natural Banach space for version independent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 405-415.
  37. Tomasz R. Bielecki & Igor Cialenco & Shibi Feng, 2018. "A Dynamic Model Of Central Counterparty Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-34, December.
  38. Dilip B. Madan, 2010. "Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness," JRFM, MDPI, vol. 3(1), pages 1-25, December.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.