Set-valued risk measures for conical market models
Article Properties
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LanguageEnglish
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DOI (url)
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Publication Date2011/06/01
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Indian UGC (journal)
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Refrences14
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Citations69
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Andreas H. Hamel
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Frank Heyde
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Birgit Rudloff
Cite
Hamel, Andreas H., et al. “Set-Valued Risk Measures for Conical Market Models”. Mathematics and Financial Economics, vol. 5, no. 1, 2011, pp. 1-28, https://doi.org/10.1007/s11579-011-0047-0.
Hamel, A. H., Heyde, F., & Rudloff, B. (2011). Set-valued risk measures for conical market models. Mathematics and Financial Economics, 5(1), 1-28. https://doi.org/10.1007/s11579-011-0047-0
Hamel AH, Heyde F, Rudloff B. Set-valued risk measures for conical market models. Mathematics and Financial Economics. 2011;5(1):1-28.
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 |
|---|---|---|---|---|
| Hedging of Claims with Physical Delivery under Convex Transaction Costs | SIAM Journal on Financial Mathematics |
| 37 | 2010 |
| Duality for Set-Valued Measures of Risk | SIAM Journal on Financial Mathematics |
| 90 | 2010 |
| 10.2143/AST.39.1.2038058 | 2009 | |||
| Consistent risk measures for portfolio vectors | Insurance: Mathematics and Economics |
| 61 | 2006 |
The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time | Mathematical Finance |
| 168 | 2004 |
Refrences Analysis
The category
Social Sciences: Economic theory. Demography: Economics as a science 6
is the most frequently represented among the references in this article. It primarily includes studies from Mathematical Finance The chart below illustrates the number of referenced publications per year.
Refrences used by this article by year
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation | European Journal of Operational Research |
| 5 | 2023 |
| Existence of solutions for polyhedral convex set optimization problems | Optimization |
| 2023 | |
| Set-valued backward stochastic differential equations | The Annals of Applied Probability |
| 2023 | |
Computation of Systemic Risk Measures: A Mixed-Integer Programming Approach | Operations Research |
| 2023 | |
| Set-valued dynamic risk measures for processes and for vectors | Finance and Stochastics |
| 2022 |
Citations Analysis
The category
Science: Mathematics 49
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Capital Requirements on Ordered Topological Vector Spaces: Finiteness, Continuity and Optimality and was published in 2012. The most recent citation comes from a 2023 study titled Existence of solutions for polyhedral convex set optimization problems. This article reached its peak citation in 2020, with 10 citations. It has been cited in 35 different journals, 14% of which are open access. Among related journals, the Finance and Stochastics cited this research the most, with 6 citations. The chart below illustrates the annual citation trends for this article.