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q-fin.RM2018
Scalar multivariate risk measures with a single eligible asset
Zachary Feinstein, Birgit Rudloff
In this paper we present results on scalar risk measures in markets with transaction costs. Such risk measures are defined as the minimal capital requirements in the cash asset. Fi…
q-fin.MF2018
Time consistency of the mean-risk problem
Gabriela Kováčová, Birgit Rudloff
Choosing a portfolio of risky assets over time that maximizes the expected return at the same time as it minimizes portfolio risk is a classical problem in Mathematical Finance and…