1. Decision-making under risk: when is utility-maximization equivalent to risk-minimization?. (2024). Dubey, Ram ; Laguzzi, Giorgio ; Ruscitti, Francesco.
   In: Theory and Decision.
   RePEc:kap:theord:v:97:y:2024:i:1:d:10.1007_s11238-023-09969-1.

   Full description at Econpapers || Download paper

2. Decision-making under risk: when is utility maximization equivalent to risk minimization?. (2023). Dubey, Ram ; Laguzzi, Giorgio ; Ruscitti, Francesco.
   In: Papers.
   RePEc:arx:papers:2311.07269.

   Full description at Econpapers || Download paper

3. RAROC in portfolio optimization. (2016). Staikouras, Christos ; Xidonas, Panagiotis ; Kountzakis, Christos E ; Hassapis, Christis.
   In: International Journal of Financial Engineering (IJFE).
   RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500225.

   Full description at Econpapers || Download paper

4. Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi .
   In: Papers.
   RePEc:arx:papers:1608.02365.

   Full description at Econpapers || Download paper

1. Acerbi, C. ; Scandolo, G. Liquidity risk theory and coherent measures of risk. 2008 Quantitative Finance. 8 681-692

2. Aliprantis, C.D. ; Border, K.C. Infinite Dimensional Analysis, A Hitchhiker’s Guide. 2006 Springer:

3. Aliprantis, C.D. ; Burkinshaw, O. Positive Operators. 2006 Springer:
   Paper not yet in RePEc: Add citation now
   
4. Aliprantis, C.D. ; Tourky, R. Cones and Duality. 2007 Springer:
   Paper not yet in RePEc: Add citation now
   

5. Artzner, P. ; Delbaen, F. ; Eber, J.M. ; Heath, D. Coherent measures of risk. 1999 Mathematical Finance. 9 203-228

6. Cheridito, P. ; Li, T. Risk measures on Orlicz Hearts. 2009 Mathematical Finance. 19 189-214

7. Csoka, P. ; Herings, J.-J. ; Koczy, L. Coherent measures of risk from a general equilibrium perspective. 2007 Journal of Banking and Finance. 31 2517-2534

8. Delbaen, F. Coherent risk measures on general probability spaces. 2002 En : Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann. Springer-Verlag: Berlin, New York
   Paper not yet in RePEc: Add citation now
   

9. Föllmer, H. ; Schied, A. Convex measures of risk and trading constraints. 2002 Finance and Stochastics. 6 429-447

10. Föllmer, H. ; Schied, A. Stochastic Finance, An Introduction in Discrete Time. 2004 Walter and Gruyter:
    Paper not yet in RePEc: Add citation now
    

11. Frittelli, M. ; Gianin, E. Putting order in risk measures. 2002 Journal of Banking and Finance. 26 1473-1486

12. Gilles, C. Charges as equilibrium prices and asset bubbles. 1989 Journal of Mathematical Economics. 18 155-167

13. Gilles, C. ; LeRoy, S.F. Bubbles and charges. 1992 International Economic Review. 33 323-339

14. Gilles, C. ; LeRoy, S.F. Bubbles as payoffs at infinity. 1997 Economic Theory. 9 261-281

15. Jameson, G. . 1970 En : Ordered Linear Spaces. Springer-Verlag:
    Paper not yet in RePEc: Add citation now
    

16. Jarrow, A. ; Purnanandam, A. A generalized coherent risk measure: the firm’s perspective. 2005 Finance Research Letters. 2 23-29

17. Jaschke, S. ; Küchler, U. Coherent risk measures and good-deal bounds. 2001 Finance and Stochastics. 5 181-200

18. Megginson, R.E. An Introduction to Banach space Theory. 1998 Springer-Verlag: Heidelberg–New York
    Paper not yet in RePEc: Add citation now
    
19. Polyrakis, I.A. Lattice-subspaces of C(Ω) and positive bases. 1994 Journal of Mathematical Analysis and Applications. 184 1-18
    Paper not yet in RePEc: Add citation now
    

20. Stoica, G. Relevant coherent measures of risk. 2006 Journal of Mathematical Economics. 42 794-806

1. Star-shaped acceptability indexes. (2024). Righi, Marcelo.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:117:y:2024:i:c:p:170-181.

   Full description at Econpapers || Download paper

2. Star-shaped acceptability indexes. (2024). Righi, Marcelo.
   In: Papers.
   RePEc:arx:papers:2110.08630.

   Full description at Econpapers || Download paper

3. The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity. (2023). Csóka, Péter ; Csoka, Peter ; Hever, Judit.
   In: MNB Working Papers.
   RePEc:mnb:wpaper:2023/1.

   Full description at Econpapers || Download paper

4. The effect of funding liquidity regulation and ESG promotion on market liquidity. (2023). Csóka, Péter ; Csoka, Peter ; Hever, Judit.
   In: CERS-IE WORKING PAPERS.
   RePEc:has:discpr:2307.

   Full description at Econpapers || Download paper

5. The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions. (2022). Adusei, Michael.
   In: Managerial and Decision Economics.
   RePEc:wly:mgtdec:v:43:y:2022:i:1:p:31-47.

   Full description at Econpapers || Download paper

6. Empirical analysis of the illiquidity premia of German real estate securities. (2022). Walther, Thomas ; Paul, Thomas ; Kuster-Simic, Andre.
   In: Financial Markets and Portfolio Management.
   RePEc:kap:fmktpm:v:36:y:2022:i:2:d:10.1007_s11408-021-00398-0.

   Full description at Econpapers || Download paper

7. Star-Shaped deviations. (2022). Righi, Marcelo ; Moresco, Marlon Ruoso.
   In: Papers.
   RePEc:arx:papers:2207.08613.

   Full description at Econpapers || Download paper

8. Market and Liquidity Risks Using Transaction-by-Transaction Information. (2021). Segovia San Juan, Ana Isabel ; GONZALEZ SANCHEZ, MARIANO ; Gonzalez-Sanchez, Mariano ; Ibaez, Eva M.
   In: Mathematics.
   RePEc:gam:jmathe:v:9:y:2021:i:14:p:1678-:d:595865.

   Full description at Econpapers || Download paper

9. Price mediated contagion through capital ratio requirements with VWAP liquidation prices. (2021). Feinstein, Zachary ; Banerjee, Tathagata.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:295:y:2021:i:3:p:1147-1160.

   Full description at Econpapers || Download paper

10. Spectral risk measure of holding stocks in the long run. (2020). Szabó, Dávid ; Csóka, Péter ; Bihary, Zsolt ; Szabo, David Zoltan.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:295:y:2020:i:1:d:10.1007_s10479-020-03678-6.

    Full description at Econpapers || Download paper

11. A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben. (2020). Hever, Judit.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1915.

    Full description at Econpapers || Download paper

12. Liquidity, implied volatility and tail risk: A comparison of liquidity measures. (2020). Righi, Marcelo ; Ramos, Henrique Pinto.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301071.

    Full description at Econpapers || Download paper

13. Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures. (2019). Rau-Bredow, Hans.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:3:p:91-:d:260962.

    Full description at Econpapers || Download paper

14. Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility. (2019). Brigo, Damiano ; Armstrong, John.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:101:y:2019:i:c:p:122-135.

    Full description at Econpapers || Download paper

15. Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach. (2019). Zhu, Zili ; Tian, YU ; Zhang, Rongju ; Langren, Nicolas ; Hamza, Kais ; Klebaner, Fima.
    In: Papers.
    RePEc:arx:papers:1610.07694.

    Full description at Econpapers || Download paper

16. A részvénytartás spektrális kockázata hosszú távon. (2018). Csóka, Péter ; Bihary, Zsolt ; Kondor, Gabor.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1782.

    Full description at Econpapers || Download paper

17. Financial statements based bank risk aggregation. (2018). Li, jianping ; Lee, Cheng Few ; Zhu, Xiaoqian ; Wei, LU ; Wu, Dengsheng.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

    Full description at Econpapers || Download paper

18. Liquidity, Risk Measures, and Concentration of Measure. (2018). Lacker, Daniel.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:43:y:2018:i:3:p:813-837.

    Full description at Econpapers || Download paper

19. Spectral risk measure of holding stocks in the long run. (2018). Szabó, Dávid ; Csóka, Péter ; Bihary, Zsolt ; Szabo, David Zoltan.
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:1812.

    Full description at Econpapers || Download paper

20. Portfolio valuation under liquidity constraints with permanent price impact. (2018). Csóka, Péter ; Csoka, Peter ; Hever, Judit.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:26:y:2018:i:c:p:235-241.

    Full description at Econpapers || Download paper

21. Monetary Measures of Risk. (2018). Hamel, Andreas H.
    In: Papers.
    RePEc:arx:papers:1812.04354.

    Full description at Econpapers || Download paper

22. Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization. (2018). Zhu, Zili ; Tian, YU ; Zhang, Rongju ; Langren, Nicolas ; Hamza, Kais ; Klebaner, Fima.
    In: Papers.
    RePEc:arx:papers:1803.11467.

    Full description at Econpapers || Download paper

23. A likviditás és a permanens árhatás szerepe a portfólióértékelésben. (2017). Hever, Judit.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1702.

    Full description at Econpapers || Download paper

24. Fair risk allocation in illiquid markets. (2017). Csóka, Péter ; Csoka, Peter.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:21:y:2017:i:c:p:228-234.

    Full description at Econpapers || Download paper

25. Properties and comparison of risk capital allocation methods. (2017). Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Batyi, Tamas Laszlo ; Csoka, Peter ; Pinter, Miklos.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:259:y:2017:i:2:p:614-625.

    Full description at Econpapers || Download paper

26. LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION. (2016). Still, Susanne ; Marsili, Matteo ; Kondor, Imre ; Caccioli, Fabio.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:05:n:s0219024916500357.

    Full description at Econpapers || Download paper

27. Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3.. (2016). Sebestyén, Tamás ; Sebestyen, Tamas.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1653.

    Full description at Econpapers || Download paper

28. Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája. (2015). Havran, Dániel ; Erb, Tamas .
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1537.

    Full description at Econpapers || Download paper

29. Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?. (2015). Havran, Dániel ; Varadi, Kata.
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:1540.

    Full description at Econpapers || Download paper

30. Fair risk allocation in illiquid markets. (2015). Csóka, Péter ; Csoka, Peter.
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:1509.

    Full description at Econpapers || Download paper

31. Liquidity, risk measures, and concentration of measure. (2015). Lacker, Daniel.
    In: Papers.
    RePEc:arx:papers:1510.07033.

    Full description at Econpapers || Download paper

32. Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity. (2014). Csóka, Péter ; Batyi, Tamas Laszlo ; Pinter, Miklos ; Balog, Dora .
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:1417.

    Full description at Econpapers || Download paper

33. Risk Allocation under Liquidity Constraints. (2014). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
    In: Working Papers.
    RePEc:fem:femwpa:2014.47.

    Full description at Econpapers || Download paper

34. Risk allocation under liquidity constraints. (2014). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:1-9.

    Full description at Econpapers || Download paper

35. Risk measuring under liquidity risk. (2014). ALLAJ, ERINDI.
    In: Papers.
    RePEc:arx:papers:1412.6745.

    Full description at Econpapers || Download paper

36. Dynamic Conic Finance via Backward Stochastic Difference Equations. (2014). Bielecki, Tomasz R. ; Chen, Tao ; Cialenco, Igor.
    In: Papers.
    RePEc:arx:papers:1412.6459.

    Full description at Econpapers || Download paper

37. Risk allocation under liquidity constraints. (2013). Herings, P. Jean-Jacques ; Csóka, Péter ; Herings P. J. J., ; Csoka P., .
    In: Research Memorandum.
    RePEc:unm:umagsb:2013057.

    Full description at Econpapers || Download paper

38. Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-Nemzetközi Bankárképző Központ Zrt., Budapest, 2012. november 14-15.. (2013). Váradi, Kata ; Havran, Dániel ; Csóka, Péter ; Csoka, Peter ; Varadi, Kata.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1382.

    Full description at Econpapers || Download paper

39. Risk Allocation under Liquidity Constraints. (2013). Herings, P. Jean-Jacques ; Csóka, Péter ; Csoka, Peter.
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:1331.

    Full description at Econpapers || Download paper

40. Coherent risk measures in general economic models and price bubbles. (2013). Polyrakis, I. A. ; Kountzakis, C..
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:49:y:2013:i:3:p:201-209.

    Full description at Econpapers || Download paper

41. Markets Evolution After the Credit Crunch. (2013). Bianchetti, Marco ; Carlicchi, Mattia .
    In: Papers.
    RePEc:arx:papers:1301.7078.

    Full description at Econpapers || Download paper

42. A formalization of double auction market dynamics. (2012). Masry, Shaimaa ; Olsen, Richard ; Tsang, Edward.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:13:y:2012:i:7:p:981-988.

    Full description at Econpapers || Download paper

43. Markets Evolution After the Credit Crunch. (2012). Carlicchi, Mattia ; Bianchetti, Marco.
    In: MPRA Paper.
    RePEc:pra:mprapa:44023.

    Full description at Econpapers || Download paper

44. Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR. (2012). Mattia, Carlicchi ; Marco, Bianchetti .
    In: MPRA Paper.
    RePEc:pra:mprapa:42248.

    Full description at Econpapers || Download paper

45. A proposal for impact-adjusted valuation: Critical leverage and execution risk. (2012). Farmer, J. ; Bouchaud, Jean-Philippe ; Caccioli, Fabio.
    In: Papers.
    RePEc:arx:papers:1204.0922.

    Full description at Econpapers || Download paper

46. Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban. (2011). Pintér, Miklós ; Csóka, Péter ; Balog, Dóra ; Bátyi, Tamás ; Batyi, Tamas Laszlo ; Csoka, Peter ; Pinter, Miklos.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:1255.

    Full description at Econpapers || Download paper

47. On the Impossibility of Fair Risk Allocation. (2011). Pintér, Miklós ; Csóka, Péter ; Csoka, Peter ; Pinter, Miklos.
    In: CERS-IE WORKING PAPERS.
    RePEc:has:discpr:1117.

    Full description at Econpapers || Download paper

48. On the impossibility of fair risk allocation. (2010). Pintér, Miklós ; Csóka, Péter ; Csoka, Peter ; Pinter, Miklos.
    In: MPRA Paper.
    RePEc:pra:mprapa:26515.

    Full description at Econpapers || Download paper

49. Credit Default Swaps Liquidity modeling: A survey. (2010). Brigo, Damiano ; Predescu, Mirela ; Capponi, Agostino.
    In: Papers.
    RePEc:arx:papers:1003.0889.

    Full description at Econpapers || Download paper

50. Why and how to integrate liquidity risk into a VaR-framework. (2008). Kaserer, Christoph ; STANGE, SEBASTIAN .
    In: CEFS Working Paper Series.
    RePEc:zbw:cefswp:200810.

    Full description at Econpapers || Download paper

Report date: 2025-09-21 21:07:27 || Missing content? Let us know