2 citations · 6 across the 7 of their papers we have counts for
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q-fin.MF2017
A continuous selection for optimal portfolios under convex risk measures does not always exist
Michel Baes, Cosimo Munari
One of the crucial problems in mathematical finance is to mitigate the risk of a financial position by setting up hedging positions of eligible financial securities. This leads to…
math.OC2017★ 2 cited
Existence, uniqueness and stability of optimal portfolios of eligible assets
Michel Baes, Pablo Koch-Medina, Cosimo Munari
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specif…