42 citations · 203 across the 34 of their papers we have counts for
3 papers · 1 filter
A Fourier Approach to the Computation of CV@R and Optimized Certainty Equivalents
Samuel Drapeau, Michael Kupper, Antonis Papapantoleon
We consider the class of risk measures associated with optimized certainty equivalents. This class includes several popular examples, such as CV@R and monotone mean-variance. Numer…
Conditional Analysis on R^d
Patrick Cheridito, Michael Kupper, Nicolas Vogelpoth
This paper provides versions of classical results from linear algebra, real analysis and convex analysis in a free module of finite rank over the ring of measurable functions…
Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models
Ulrich Horst, Michael Kupper, Andrea Macrina +1
We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to s…