5 citations · 20 across the 10 of their papers we have counts for
12 papers
Can the - duality be restored for non-dominated families of probability measures?
Irene Klein, Georg Köstenberger
The duality frequently breaks down in the presence of model uncertainty, where a single reference measure is replaced by a non-dominated family of p…
Quantitative Halmos-Savage theorems and robust large financial markets
Christa Cuchiero, Irene Klein, Georg Köstenberger +1
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing…
Risk measures under model uncertainty: a Bayesian viewpoint
Christa Cuchiero, Guido Gazzani, Irene Klein
We introduce two kinds of risk measures with respect to some reference probability measure, which both allow for a certain order structure and domination property. Analyzing their…
A fundamental theorem of asset pricing for continuous time large financial markets in a two filtration setting
Christa Cuchiero, Irene Klein, Josef Teichmann
We present a version of the fundamental theorem of asset pricing (FTAP) for continuous time large financial markets with two filtrations in an -setting for $ 1 \leq p < \infty…
Asymptotic arbitrage in fractional mixed markets
Fernando Cordero, Irene Klein, Lavinia Perez-Ostafe
We consider a family of mixed processes given as the sum of a fractional Brownian motion with Hurst parameter and a multiple of an independent standard Brownian motio…
A new perspective on the fundamental theorem of asset pricing for large financial markets
Christa Cuchiero, Irene Klein, Josef Teichmann
In the context of large financial markets we formulate the notion of \emph{no asymptotic free lunch with vanishing risk} (NAFLVR), under which we can prove a version of the fundame…