1 citations · 1 across the 4 of their papers we have counts for
4 papers · 1 filter
On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
Dilip Madan, Martijn Pistorius, Mitja Stadje
In this paper we propose the notion of continuous-time dynamic spectral risk-measure (DSR). Adopting a Poisson random measure setting, we define this class of dynamic coherent risk…
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…