Consistent risk measures for portfolio vectors

By Christian Burgert, Ludger Rüschendorf. 2006

120 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/17f3a544dc0f5eb9a6cf1bc4faee796539142ef1

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Burgert Christian
2. Rüschendorf Ludger
3. H. Buhler
4. Frank Heyde
5. Ben Wood
6. Ilya S. Molchanov
7. Birgit Rudloff
8. Ignacio Cascos

In Finance

1. Ilya S. Molchanov
2. Ignacio Cascos
3. Burgert Christian
4. Rüschendorf Ludger
5. H. Buhler
6. Frank Heyde
7. Ben Wood
8. Birgit Rudloff

In Management Science and Operations Research

1. Ignacio Cascos
2. Ilya S. Molchanov
3. Frank Heyde
4. Birgit Rudloff
5. Burgert Christian
6. Rüschendorf Ludger
7. H. Buhler
8. Ben Wood

Citations in the corpus

• MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, methodology): “The constructed real-valued risk measure depends on set-valued portfolio X and so cannot be directly related to the framework of [2, 7, 25], since the risk measures considered there depend on random vectors without using the corresponding exchange cones.”
• Deep hedging (2018, background): “† See Burgert and Rüschendorf (2006) for some background on multi-currency risk measures.”
• Law invariant convex risk measures for portfolio vectors (2006, background): “The class of all convex risk measures onL∞d (P ) has been characterized in Burgert and Rüschendorf (2006).”
• Optimal reinsurance with general risk measures (2009, unknown): “Among others, Goovaerts et al. (2004a) have introduced the consistent risk measures, also studied in Burgert and Rüschendorf (2006), Goovaerts et al. (2004b) and Goovaerts and Laeven (2008) have introduced mixtures of exponentials, Frittelli and Scandolo (2005) have analyzed risk measures for…”
• On the optimal risk allocation problem (2006, background): “For some of the large number of references see Leland (1980), Chavallier and Müller (1994), and Barrieu and El Karoui (2002a, 2002b, 2003, 2004, 2005), Dana and Scarsini (2005), Chateauneuf, Dana, and Tallon (2000), Gerber (1979), Landsberger and Meilijson (1994), Denault (2001), Dana and Meilijson ”
• Set-valued risk measures for conical market models (2010, background): “This relationship has not been observed before: In [4] only scalar risk measures for multivariate positions are considered without reference to a market model.”