Conditional coherent risk measures and regime-switching conic pricing

Article Properties

DOI (url)

10.3934/puqr.2021014
Publication Date

2021/01/01
Journal

Probability, Uncertainty and Quantitative Risk
Indian UGC (journal)
Refrences

24
Citations

3
Engel John C Dela Vega
Robert J Elliott

Abstract

Cite

Dela Vega, Engel John C, and Robert J Elliott. “Conditional Coherent Risk Measures and Regime-Switching Conic Pricing”. Probability, Uncertainty and Quantitative Risk, vol. 6, no. 4, 2021, p. 267, https://doi.org/10.3934/puqr.2021014.

Dela Vega, E. J. C., & Elliott, R. J. (2021). Conditional coherent risk measures and regime-switching conic pricing. Probability, Uncertainty and Quantitative Risk, 6(4), 267. https://doi.org/10.3934/puqr.2021014

Dela Vega, Engel John C, and Robert J Elliott. “Conditional Coherent Risk Measures and Regime-Switching Conic Pricing”. Probability, Uncertainty and Quantitative Risk 6, no. 4 (2021): 267. https://doi.org/10.3934/puqr.2021014.

Dela Vega EJC, Elliott RJ. Conditional coherent risk measures and regime-switching conic pricing. Probability, Uncertainty and Quantitative Risk. 2021;6(4):267.

Journal Category

Science

Mathematics

Probabilities

Mathematical statistics

Refrences

Title	Journal	Journal Categories	Citations	Publication Date
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation	Finance and Stochastics	Science: Mathematics Science: Mathematics: Probabilities. Mathematical statistics Social Sciences: Finance Social Sciences: Statistics Social Sciences: Economic theory. Demography: Economics as a science Social Sciences: Commerce: Business Social Sciences: Economic theory. Demography: Economics as a science	21	2017
10.1142/S0219024910006157
10.1007/978-4-431-67891-5
10.1016/S0022-247X(03)00477-3
10.1007/BFb0103945

Citations

Title	Journal	Journal Categories	Publication Date
Random distortion risk measures	Insurance: Mathematics and Economics	Science: Mathematics Science: Mathematics: Probabilities. Mathematical statistics Social Sciences: Economic theory. Demography: Economics as a science Social Sciences: Statistics Social Sciences: Commerce: Business Social Sciences: Economic theory. Demography: Economics as a science	2024
Factor Risk Measures	SSRN Electronic Journal		2024
Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market	Discrete Dynamics in Nature and Society	Science: Mathematics Science: Mathematics Science: Science (General)	2022

Citations Analysis

Category	Category Repetition
Science: Mathematics	2
Science: Mathematics: Probabilities. Mathematical statistics	1
Social Sciences: Economic theory. Demography: Economics as a science	1
Social Sciences: Statistics	1
Social Sciences: Commerce: Business	1
Science: Science (General)	1

The category Science: Mathematics 2 is the most commonly referenced area in studies that cite this article. The first research to cite this article was titled Pricing American Options by a Fourier Transform Multinomial Tree in a Conic Market and was published in 2022. The most recent citation comes from a 2024 study titled Factor Risk Measures. This article reached its peak citation in 2024, with 2 citations. It has been cited in 3 different journals, 33% of which are open access. Among related journals, the SSRN Electronic Journal cited this research the most, with 1 citations. The chart below illustrates the annual citation trends for this article.