1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2006
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…
math.PR2006
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…
math.PR2006★ 1 cited
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…