Acerbi, C. (2002): Spectral measures of risk: A coherent representation of subjective risk aversion. Journal of Banking and Finance 26(7), 1505–1518.
Acerbi, C. and D. Tasche (2002): On the coherence of expected shortfall. Journal of Banking and Finance 26(7), 1487–1503.
- Artzner, P., F. Delbaen, J.-M. Eber and D. Heath (1997): Thinking coherently. RISK 10, 68–71.
Paper not yet in RePEc: Add citation now
Artzner, P., F. Delbaen, J.-M. Eber and D. Heath (1999): Coherent measures of risk. Mathematical Finance 9, 203–228.
- Aubin, J.-P. (1998): Optima and Equilibria. New York: Springer.
Paper not yet in RePEc: Add citation now
Bernardo, A. and O. Ledoit (2000): Gain, loss and asset pricing. Journal of Political Economy 108(1), 144–172.
- Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/18/17 6:10 PM Leitner Delbaen, F. and W. Schachermayer (2000): Applications to Mathematical Finance, in: Handbook of the Geometrie of Banach Spaces, Vol. 1, 367–391, Johnson, W. and J. Lindenstrauss (eds.). Amsterdam: Elsevier.
Paper not yet in RePEc: Add citation now
- Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/18/17 6:10 PM Monetary utility over coherent risk ratios 187 Quiggin, J. (1982): A theory of anticipated utility. Journal of Economic Behavior and Organization 3, 323–343.
Paper not yet in RePEc: Add citation now
ČernyÃŒÂ, A. (2003): Generalized sharpe ratios and asset pricing in incomplete markets. European Finance Review 7, 191–203.
- Choquet, G. (1953/54): Theory of capacities. Annales de l’Institut Fourier 5, 131–295.
Paper not yet in RePEc: Add citation now
- Delbaen, F. (2001): Coherent Risk Measures. Lecture Notes. Pisa.
Paper not yet in RePEc: Add citation now
- Delbaen, F. (2002): Coherent Risk Measures on General Probability Spaces, in Advances in Finance and Stochastics – Essays in Honour of Dieter Sondermann, Sandmann, K. and P. J. Schönbucher (eds.). New York: Springer.
Paper not yet in RePEc: Add citation now
- Denneberg, D. (1994): Non-additive Measure and Integral. Boston: Kluwer.
Paper not yet in RePEc: Add citation now
- Diestel, J. (1984): Sequences and Series in Banach Spaces. Graduate Texts in Mathematics 92. Berlin: Springer.
Paper not yet in RePEc: Add citation now
- Föllmer, H. and A. Schied (2002): Stochastic Finance. Berlin: de Gruyter.
Paper not yet in RePEc: Add citation now
- Grabisch, M, T. Murofushi and M. Sugeno (Eds.) (2000): Fuzzy Measures and Integrals. Studies in Fuzziness and Soft Computing 40. Heidelberg: Physica-Verlag.
Paper not yet in RePEc: Add citation now
- Hardy, G. H., J. E. Littlewood and G. Pòlya (1934, 2nd edn. 1952): Inequalities. Cambridge: Cambridge University Press.
Paper not yet in RePEc: Add citation now
- Johannes Leitner Research Unit for Financial and Actuarial Mathematics Institute for Mathematical Economics Vienna University of Technology Wiedner Hauptstraße 8–10/105 A-1040 Vienna Austria jleitner@fam.tuwien.ac.at Brought to you by | Jose Manuel Barrueco/CitEc Authenticated Download Date | 1/18/17 6:10 PM
Paper not yet in RePEc: Add citation now
Kahneman, D. and A. Tversky (1979): Prospect theory: An analysis of decision under risk. Econometrica 47(2), 263–291.
- Keating, C. (2002): A universal performance measure. Working paper. The Finance Development Centre, London.
Paper not yet in RePEc: Add citation now
- Klein, I. and W. Schachermayer (1996): A quantitative and dual version of the Halmos–Savage theorem with applications to mathematical finance. The Annals of Probability 24(2), 867–881.
Paper not yet in RePEc: Add citation now
Kreps, D. M. (1981): Arbitrage and equilibrium in economies with infinitely many comodities. Journal of Mathematical Economics 8, 15–35.
- Kusuoka, S. (2001): On law invariant coherent risk measures. Advances in Mathematical Economics 3, 83–95.
Paper not yet in RePEc: Add citation now
- Leitner, J. (2004): Optimal portfolios with lower partial moment constraints and LPMrisk -optimal martingale measures. Submitted to Mathematical Finance.
Paper not yet in RePEc: Add citation now
- Leitner, J. (2005a): Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures. Statistics and Decisions 23(1), 49–66.
Paper not yet in RePEc: Add citation now
- Leitner, J. (2005b): A short note on second order stochastic dominance preserving coherent risk measures. Mathematical Finance 15(4), 649–651.
Paper not yet in RePEc: Add citation now
- Leitner, J. (2005c): Dilatation monotonous Choquet integrals. Journal of Mathematical Economics 41(8), 994–1006.
Paper not yet in RePEc: Add citation now
- Luenberger, D. G. (2005): Linear and Nonlinear Programming. New York: Springer.
Paper not yet in RePEc: Add citation now
Markowitz, H. (1952): The utility of wealth. Journal of Political Economy 60, 151–158.
- Markowitz, H. (1959): Portfolio Selection. New York: Wiley.
Paper not yet in RePEc: Add citation now
- Rokhlin, D. and W. Schachermayer (2005): A note on lower bounds of martingale measure densities. Working paper, downloadable at www.arXiv.org.
Paper not yet in RePEc: Add citation now
- Schmeidler, D. (1986): Integral representation without additivity. Proceedings of the American Mathematical Society 97(2), 255–261.
Paper not yet in RePEc: Add citation now
Sharpe, W. F. (1964): Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.
Tversky, A. and D. Kahneman (1992): Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty 5, 297–323.
Yaari, M. E. (1987): The Dual Theory of Choice Under Risk. Econometrica 55(1), 95–115.