142 citations · 658 across the 32 of their papers we have counts for
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q-fin.RM2012★ 44 cited
Multiportfolio time consistency for set-valued convex and coherent risk measures
Zachary Feinstein, Birgit Rudloff
Equivalent characterizations of multiportfolio time consistency are deduced for closed convex and coherent set-valued risk measures on with image space…
q-fin.RM2012
Set-valued average value at risk and its computation
Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case…
q-fin.RM2012
Time consistency of dynamic risk measures in markets with transaction costs
Zachary Feinstein, Birgit Rudloff
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with tran…