26 citations · 44 across the 7 of their papers we have counts for
7 papers
Concave Distortion Semigroups
Alexander Cherny, Damir Filipović
The problem behind this paper is the proper measurement of the degree of quality/acceptability/distance to arbitrage of trades. We are narrowing the class of coherent acceptability…
Brownian moving averages have conditional full support
Alexander Cherny
We prove that any Brownian moving average \[X_t=\int_{-\infty}^t\bigl(f(s-t)-f(s)\bigr) dB_s,\qquad t\ge0,\] satisfies the conditional full support condition introduced by Guasoni,…
CAPM, rewards, and empirical asset pricing with coherent risk
Alexander S. Cherny, Dilip B. Madan
The paper has 2 main goals: 1. We propose a variant of the CAPM based on coherent risk. 2. In addition to the real-world measure and the risk-neutral measure, we propose the third…
Pricing and hedging in incomplete markets with coherent risk
Alexander S. Cherny, Dilip B. Madan
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splittin…
Coherent measurement of factor risks
Alexander S. Cherny, Dilip B. Madan
We propose a new procedure for the risk measurement of large portfolios. It employs the following objects as the building blocks: - coherent risk measures introduced by Artzner, De…
Equilibrium with coherent risk
Alexander S. Cherny
This paper is the continuation of "Pricing with coherent risk" and deals with further applications of coherent risk measures to problems of finance. First, we study the optimizatio…