Nendel, Max; Streicher, Jan An axiomatic approach to default risk and model uncertainty in rating systems. (English) Zbl 07799767 J. Math. Econ. 109, Article ID 102896, 19 p. (2023). MSC: 91G45 91G70 PDFBibTeX XMLCite \textit{M. Nendel} and \textit{J. Streicher}, J. Math. Econ. 109, Article ID 102896, 19 p. (2023; Zbl 07799767) Full Text: DOI arXiv
Wang, Wei; Xu, Huifu Preference robust distortion risk measure and its application. (English) Zbl 1522.91322 Math. Finance 33, No. 2, 389-434 (2023). MSC: 91G70 91G05 PDFBibTeX XMLCite \textit{W. Wang} and \textit{H. Xu}, Math. Finance 33, No. 2, 389--434 (2023; Zbl 1522.91322) Full Text: DOI OA License
Ivanov, Roman V. On lower partial moments for the investment portfolio with variance-gamma distributed returns. (English) Zbl 1490.60042 Lith. Math. J. 62, No. 1, 10-27 (2022). Reviewer: Peter Kern (Düsseldorf) MSC: 60E07 33C90 91B70 91G10 91G70 PDFBibTeX XMLCite \textit{R. V. Ivanov}, Lith. Math. J. 62, No. 1, 10--27 (2022; Zbl 1490.60042) Full Text: DOI
Chen, Zhi; Xie, Weijun Sharing the value-at-risk under distributional ambiguity. (English) Zbl 1522.91317 Math. Finance 31, No. 1, 531-559 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G70 91A12 PDFBibTeX XMLCite \textit{Z. Chen} and \textit{W. Xie}, Math. Finance 31, No. 1, 531--559 (2021; Zbl 1522.91317) Full Text: DOI
Deng, Xiaochuan; Sun, Fei Regulator-based risk statistics with scenario analysis. (English) Zbl 1512.62101 Math. Probl. Eng. 2021, Article ID 3056510, 5 p. (2021). MSC: 62P30 PDFBibTeX XMLCite \textit{X. Deng} and \textit{F. Sun}, Math. Probl. Eng. 2021, Article ID 3056510, 5 p. (2021; Zbl 1512.62101) Full Text: DOI arXiv
Liu, Fangda; Wang, Ruodu A theory for measures of tail risk. (English) Zbl 1471.91626 Math. Oper. Res. 46, No. 3, 1109-1128 (2021). MSC: 91G70 91G45 PDFBibTeX XMLCite \textit{F. Liu} and \textit{R. Wang}, Math. Oper. Res. 46, No. 3, 1109--1128 (2021; Zbl 1471.91626) Full Text: DOI
Owusu Junior, Peterson; Alagidede, Imhotep Risks in emerging markets equities: time-varying versus spatial risk analysis. (English) Zbl 07527116 Physica A 542, Article ID 123474, 17 p. (2020). MSC: 82-XX PDFBibTeX XMLCite \textit{P. Owusu Junior} and \textit{I. Alagidede}, Physica A 542, Article ID 123474, 17 p. (2020; Zbl 07527116) Full Text: DOI
Gao, Niushan; Munari, Cosimo Surplus-invariant risk measures. (English) Zbl 1455.91275 Math. Oper. Res. 45, No. 4, 1342-1370 (2020). MSC: 91G70 PDFBibTeX XMLCite \textit{N. Gao} and \textit{C. Munari}, Math. Oper. Res. 45, No. 4, 1342--1370 (2020; Zbl 1455.91275) Full Text: DOI arXiv
Deng, Xiaochuan; Sun, Fei Regulator-based risk statistics for portfolios. (English) Zbl 1459.91213 Discrete Dyn. Nat. Soc. 2020, Article ID 7015267, 6 p. (2020). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{X. Deng} and \textit{F. Sun}, Discrete Dyn. Nat. Soc. 2020, Article ID 7015267, 6 p. (2020; Zbl 1459.91213) Full Text: DOI arXiv
Sun, Fei; Hu, Yijun Set-valued cash sub-additive risk measures. (English) Zbl 1508.91622 Probab. Eng. Inf. Sci. 33, No. 2, 241-257 (2019). MSC: 91G70 PDFBibTeX XMLCite \textit{F. Sun} and \textit{Y. Hu}, Probab. Eng. Inf. Sci. 33, No. 2, 241--257 (2019; Zbl 1508.91622) Full Text: DOI
He, Xue Dong; Peng, Xianhua Surplus-invariant, law-invariant, and conic acceptance sets must be the sets induced by value at risk. (English) Zbl 1455.91271 Oper. Res. 66, No. 5, 1268-1275 (2018). MSC: 91G50 PDFBibTeX XMLCite \textit{X. D. He} and \textit{X. Peng}, Oper. Res. 66, No. 5, 1268--1275 (2018; Zbl 1455.91271) Full Text: DOI arXiv
Sun, Fei; Chen, Yanhong; Hu, Yijun Set-valued loss-based risk measures. (English) Zbl 1396.91814 Positivity 22, No. 3, 859-871 (2018). MSC: 91G70 26E25 PDFBibTeX XMLCite \textit{F. Sun} et al., Positivity 22, No. 3, 859--871 (2018; Zbl 1396.91814) Full Text: DOI
Chen, Yanhong; Sun, Fei; Hu, Yijun Coherent and convex loss-based risk measures for portfolio vectors. (English) Zbl 1408.91237 Positivity 22, No. 1, 399-414 (2018). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{Y. Chen} et al., Positivity 22, No. 1, 399--414 (2018; Zbl 1408.91237) Full Text: DOI
He, Xue Dong; Kou, Steven Profit sharing in hedge funds. (English) Zbl 1403.91312 Math. Finance 28, No. 1, 50-81 (2018). MSC: 91G10 90B50 91B16 PDFBibTeX XMLCite \textit{X. D. He} and \textit{S. Kou}, Math. Finance 28, No. 1, 50--81 (2018; Zbl 1403.91312) Full Text: DOI
Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario Diversification, protection of liability holders and regulatory arbitrage. (English) Zbl 1404.91140 Math. Financ. Econ. 11, No. 1, 63-83 (2017). MSC: 91B30 46N10 PDFBibTeX XMLCite \textit{P. Koch-Medina} et al., Math. Financ. Econ. 11, No. 1, 63--83 (2017; Zbl 1404.91140) Full Text: DOI arXiv
Schneider, Judith C.; Schweizer, Nikolaus Robust measurement of (heavy-tailed) risks: theory and implementation. (English) Zbl 1401.91191 J. Econ. Dyn. Control 61, 183-203 (2015). MSC: 91B30 65C60 62P05 62C05 PDFBibTeX XMLCite \textit{J. C. Schneider} and \textit{N. Schweizer}, J. Econ. Dyn. Control 61, 183--203 (2015; Zbl 1401.91191) Full Text: DOI
He, Xue Dong; Jin, Hanqing; Zhou, Xun Yu Dynamic portfolio choice when risk is measured by weighted VaR. (English) Zbl 1377.91169 Math. Oper. Res. 40, No. 3, 773-796 (2015). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{X. D. He} et al., Math. Oper. Res. 40, No. 3, 773--796 (2015; Zbl 1377.91169) Full Text: DOI Link