29 citations · 96 across the 15 of their papers we have counts for
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q-fin.RM2019★ 6 cited
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Çağın Ararat, Zachary Feinstein
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations. In the multivariate setting, dynami…
q-fin.PM2019★ 4 cited
Portfolio optimization with two coherent risk measures
Tahsin Deniz Aktürk, Çağın Ararat
We provide analytical results for a static portfolio optimization problem with two coherent risk measures. The use of two risk measures is motivated by joint decision-making for po…
q-fin.MF2019★ 1 cited
Computation of systemic risk measures: a mixed-integer programming approach
Çağın Ararat, Nurtai Meimanjan
Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of de…