Representation results for law invariant time consistent functions
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2009/09/01
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Indian UGC (journal)
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Refrences35
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Citations64
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Michael Kupper
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Walter Schachermayer
Cite
Kupper, Michael, and Walter Schachermayer. “Representation Results for Law Invariant Time Consistent Functions”. Mathematics and Financial Economics, vol. 2, no. 3, 2009, pp. 189-10, https://doi.org/10.1007/s11579-009-0019-9.
Kupper, M., & Schachermayer, W. (2009). Representation results for law invariant time consistent functions. Mathematics and Financial Economics, 2(3), 189-210. https://doi.org/10.1007/s11579-009-0019-9
Kupper M, Schachermayer W. Representation results for law invariant time consistent functions. Mathematics and Financial Economics. 2009;2(3):189-210.
Journal Categories
Science
Mathematics
Social Sciences
Commerce
Business
Social Sciences
Economic theory
Demography
Economics as a science
Social Sciences
Finance
Social Sciences
Statistics
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Time-inconsistency of VaR and time-consistent alternatives | Finance Research Letters |
| 40 | 2009 |
| Dual characterization of properties of risk measures on Orlicz hearts | Mathematics and Financial Economics |
| 39 | 2008 |
DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY | Mathematical Finance |
| 163 | 2006 |
| A super-replication theorem in Kabanov’s model of transaction costs | Finance and Stochastics |
| 66 | 2006 |
Coherent Measures of Risk | Mathematical Finance |
| 4,880 | 1999 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| The perturbation method applied to a robust optimization problem with constraint | Mathematics and Financial Economics |
| 2024 | |
| Selling options to beat the market: Further empirical evidence | Research in International Business and Finance |
| 1 | 2024 |
| Certainty equivalent control of discrete time Markov processes with the average reward functional | Systems & Control Letters |
| 2 | 2023 |
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs | Mathematical Finance |
| 4 | 2023 |
Solving optimal stopping problems under model uncertainty via empirical dual optimisation | Finance and Stochastics |
| 1 | 2022 |
Citations Analysis
The category
Science: Mathematics 37
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Dynamic Asset Allocation Techniques and was published in 2009. The most recent citation comes from a 2024 study titled The perturbation method applied to a robust optimization problem with constraint. This article reached its peak citation in 2018, with 8 citations. It has been cited in 32 different journals, 6% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 11 citations. The chart below illustrates the annual citation trends for this article.