Pareto Equilibria with coherent measures of risk
108 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/38ec99f6045268be24012405f17f376810dc7f2e
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
- Michael Kupper
- Damir Filipovi'c
- Burgert Christian
- Rüschendorf Ludger
- Alexander Schied
- Andrzej Ruszczynski
- Jan Kallsen
- Alexander Shapiro
In Finance
- Michael Kupper
- Rüschendorf Ludger
- Burgert Christian
- Damir Filipovi'c
- Alexander Schied
- Hans Föllmer
- Stefan Weber
- Andrzej Ruszczynski
In Management Science and Operations Research
- Michael Kupper
- Rüschendorf Ludger
- Burgert Christian
- Damir Filipovi'c
- Alexander Schied
- Hans Föllmer
- T. Guo
- Andrzej Ruszczynski
Citations in the corpus
- Risk Measures and Robust Optimization Problems (2006, background): “Heath in their seminal paper[3] and further developed by Carlier and Dana[11], Delbaen[20,21], Föllmer and the author[33–36], Frittelli and Rosazza Gianin[37,38], Heath[43], Heath and Ku[44], and Kusuoka[53], to mention only a few.”
- On the optimal risk allocation problem (2006, background): “Thus Proposition 3.3 implies the characterization of Heath and Ku (2004) resp.”
- OPTIMAL CAPITAL AND RISK TRANSFERS FOR GROUP DIVERSIFICATION (2007, background): “Optimal risk exchange in an expected utility framework is explored in [4, 5], and based on convex risk measures in [2, 3, 6, 11, 15, 19, 21, 23] The remainder of the paper is as follows.”