Liquidity, Risk Measures, and Concentration of Measure
Article Properties
-
LanguageEnglish
-
DOI (url)
-
Publication Date2018/08/01
-
Indian UGC (journal)
-
Refrences27
-
Citations17
-
Daniel Lacker Columbia University, New York, New York 10027 ORCID (unauthenticated)
Abstract
Cite
Lacker, Daniel. “Liquidity, Risk Measures, and Concentration of Measure”. Mathematics of Operations Research, vol. 43, no. 3, 2018, pp. 813-37, https://doi.org/10.1287/moor.2017.0885.
Lacker, D. (2018). Liquidity, Risk Measures, and Concentration of Measure. Mathematics of Operations Research, 43(3), 813-837. https://doi.org/10.1287/moor.2017.0885
Lacker, Daniel. “Liquidity, Risk Measures, and Concentration of Measure”. Mathematics of Operations Research 43, no. 3 (2018): 813-37. https://doi.org/10.1287/moor.2017.0885.
Lacker D. Liquidity, Risk Measures, and Concentration of Measure. Mathematics of Operations Research. 2018;43(3):813-37.
Journal Categories
Science
Mathematics
Technology
Manufactures
Production management
Operations management
Technology
Technology (General)
Industrial engineering
Management engineering
Applied mathematics
Quantitative methods
You May Also Like
- Biconvex sets and optimization with biconvex functions: a survey and extensions
- Steepest descent methods for multicriteria optimization
- Covering models and optimization techniques for emergency response facility location and planning: a review
- Solving two-stage robust optimization problems using a column-and-constraint generation method
- A probabilistic heuristic for a computationally difficult set covering problem
Refrences
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Optimality and Risk-Modern Trends in Mathematical Finance | 2010 | |||
RISK MEASURES ON ORLICZ HEARTS | Mathematical Finance |
| 127 | 2009 |
| Exponential Integrability and Transportation Cost Related to Logarithmic Sobolev Inequalities | Journal of Functional Analysis |
| 272 | 1999 |
AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT | Mathematical Finance |
| 222 | 2007 |
Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming | Management Science |
| 100 | 1986 |
Citations
| Title | Journal | Journal Categories | Citations | Publication Date |
|---|---|---|---|---|
| Talagrand’s transportation inequality for SPDEs with locally monotone drifts | Statistics & Probability Letters |
| 2024 | |
| Concentration inequality and the weak law of large numbers for the sum of partly negatively dependent φ-subgaussian random variables | Statistics & Probability Letters |
| 2024 | |
| A characterization of transportation-information inequalities for Markov processes in terms of dimension-free concentration | Annales de l'Institut Henri Poincaré, Probabilités et Statistiques |
| 2023 | |
| Transportation Inequalities for Stochastic Heat Equation with Rough Dependence in Space | Acta Mathematica Sinica, English Series |
| 2 | 2022 |
| Star-Shaped deviations | Operations Research Letters |
| 1 | 2022 |
Citations Analysis
The category
Science: Mathematics 16
is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Law invariant risk measures and information divergences and was published in 2018. The most recent citation comes from a 2024 study titled Concentration inequality and the weak law of large numbers for the sum of partly negatively dependent φ-subgaussian random variables. This article reached its peak citation in 2022, with 5 citations. It has been cited in 13 different journals, 7% of which are open access. Among related journals, the Statistics & Probability Letters cited this research the most, with 4 citations. The chart below illustrates the annual citation trends for this article.