1. Measuring Dependence in a Set of Asset Returns. (2023). Wang, King ; Madan, Dilip B.
   In: Asia-Pacific Financial Markets.
   RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09378-4.

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2. Two sided efficient frontiers at multiple time horizons. (2022). Wang, King ; Madan, Dilip B.
   In: Annals of Finance.
   RePEc:kap:annfin:v:18:y:2022:i:3:d:10.1007_s10436-022-00411-0.

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3. Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean. (2020). Gzyl, Henryk ; Arratia, Argimiro.
   In: Computational Economics.
   RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09954-3.

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4. Adapted hedging. (2016). Madan, Dilip B.
   In: Annals of Finance.
   RePEc:kap:annfin:v:12:y:2016:i:3:d:10.1007_s10436-016-0282-8.

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5. Hedging insurance books. (2016). Schoutens, Wim ; Carr, Peter ; Melamed, Michael ; Madan, Dilip B.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:70:y:2016:i:c:p:364-372.

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1. A. Černý & S. D. Hodges (2002) Theory of good-deal pricing in financial markets, In: Mathematical Finance-Bachelier Congress 2000, H. Geman, D. Madan, S. Pliska & T. Vorst, eds., Springer: Berlin. pp. 175–202.
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2. A. Bienvenüe & C. Y. Robert (2014) Likelihood based inference for high-dimensional extreme value distributions,
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3. A. Cherny (2006) Weighted VAR and its properties, Finance and Stochastics 10, 367–393.

4. A. Cherny & D. B. Madan (2010) Markets as a counterparty: An introduction to conic finance, International Journal of Theoretical and Applied Finance 13, 1149–1177.

5. A. Cherny & D. Madan (2009) New measures for performance evaluation, Review of Financial Studies 22, 2571–2606.

6. A. Galichon & M. Henry (2012) Dual theory pf choice under multivariate risks, Journal of Economic Theory 147, 1501–1516.

7. A. Hyvärinen, J. Karhunen & E. Oja (2001) Independent Components Analysis. New York: Wiley InterScience.
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8. D. B. Madan (2006) Equilibrium asset pricing with non-gaussian returns and exponential utility, Quantitative Finance 6, 455–463.

9. D. B. Madan (2012) A two price theory of financial equilibrium with risk management implications, Annals of Finance 8 (4), 489–505.

10. D. B. Madan (2014a) Asset pricing theory for two price economies, Annals of Finance, doi: 10.1007/s10436-014-0255-8.
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11. D. B. Madan (2014b) Modeling and monitoring risk acceptability in markets: The case of the credit default swap market, Journal of Banking and Finance 47, 63–73.
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12. D. B. Madan (2014c) Estimating parametric models of probability distributions, Methodology, Computing and Applied Probability, doi: 10.1007/s11009-014-9409-4.
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13. D. B. Madan & J.-Y. Yen (2008) Asset allocation for CARA utility with multivariate Lévy returns, In: Handbooks in Operations Research and Management Science (J. R. Birge & V. Linetsky, eds.), Chapter 23. Amsterdam: North Holland.
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14. D. B. Madan & W. Schoutens (2012a) Structured products equilibria in conic two price markets, Mathematics and Financial Economics 6, 37–57.
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15. D. B. Madan & W. Schoutens (2012b) Tenor specific pricing, International Journal of Theoretical and Applied Finance 15 (6), doi: 10.1142/S0219024912500434.
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16. D. B. Madan & W. Schoutens (2013) Systemic risk tradeoffs and option prices, Insurance, Mathematics and Economics 52, 222–230.

17. D. B. Madan & W. Schoutens (2014) Two processes for two prices, International Journal of Theoretical and Applied Finance 17, doi: 10.1142/S02190224914500058.

18. D. B. Madan, M. Pistorius & M. Stadje (2012) On consistent valuation based on distortions: From multinomial random walks to Lévy processes, Imperial College Preprint.
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19. D. H. Oh & A. J. Patton (2014) High Dimension Copula-Based Distributions with Mixed Frequency Data. Working Paper, Department of Economics, Duke University, Box 90097, Durham, NC 27708.
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20. D. Madan & E. Seneta (1990) The variance gamma (VG) model for share market returns, Journal of Business 63, 511–524.

21. D. Madan, P. Carr & E. Chang (1998) The variance gamma process and option pricing, European Economic Review 2, 79–105.

22. E. Eberlein & D. B. Madan (2009) Hedge fund performance: Sources and measures, International Journal of Theoretical and Applied Finance 12, 267–282.

23. E. Eberlein & D. B. Madan (2010) The distribution of returns at longer horizons, Proceedings of the KIER-TMU Workshop, M. Kijima, C. Hara, Y. Muromachi, H. Nakaoka & K. Nishide, eds., World Scientific: Singapore. pp. 1–18.
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24. E. Eberlein & D. B. Madan (2011) Unbounded liabilities, capital reserve requirements and the taxpayer put option, Quantitative Finance 12, 709–724.
    Paper not yet in RePEc: Add citation now
    
25. E. Eberlein & D. B. Madan (2016) Portfolio theory for squared returns correlated across time, working paper at the Robert H. Smith, School of Business, SSRN 2635632.
    Paper not yet in RePEc: Add citation now
    
26. E. Eberlein, D. B. Madan, M. Pistorius & M. Yor (2014a) Bid and ask prices as non-linear continuous time G-expectations based on distortions, Mathematics and Financial Economics 8, 265–289.
    Paper not yet in RePEc: Add citation now
    
27. E. Eberlein, D. B. Madan, M. Pistorius, W. Schoutens & M. Yor (2014b) Two price economies in continuous time, Annals of Finance 10, 71–100.
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28. E. J. Elton, M. J. Gruber, S. J. Brown & W. N. Goetzman (2010) Modern Portfolio Theory and Investment Analysis. Hoboken, NJ: John Wiley & Sons Inc.
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29. F. J. Fabozzi, D. Huang & G. Zhou (2010) Robust portfolios: Contributions from operations research and finance, Annals of Operations Research 176, 191–220.

30. H. Jin, Z. Xu & X. Y. Zhou (2008) Behavioral portfolio selection in continuous time, Mathematical Finance 18, 385–426.

31. H. M. Markowitz (1952) Portfolio selection, Journal of Finance 7, 77–91.
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32. I. Gilboa & D. Schmeidler (1989) Maxmin expected utility with non-unique prior, Journal of Mathematical Finance 18, 141–153.

33. International Capital Markets Association (2012) Haircuts and Initial Margins in the Repo Market, European Repo Council Report, Compiled by Richard Comotto.
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34. J. Bion-Nadal (2009) Bid-Ask dynamic pricing in financial markets with transactions costs and liquidity risk, Journal of Mathematical Economics 45, 738–750.

35. J. H. Cochrane & J. Saá-Requejo (2000) Beyond arbitrage: ‘Good Deal’ asset price bounds in incomplete markets, Journal of Political Economy 108, 79–119.

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43. P. Artzner, F. Delbaen, M. Eber & D. Heath (1999) Coherent measures of risk, Mathematical Finance 9, 203–228.

44. P. Carr & D. B. Madan (1999) Option valuation using the fast Fourier transform, Journal of Computational Finance 2, 61–73.
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45. P. Carr, D. B. Madan & J. J. Vicenta-Alvarez (2011) Markets, profits, capital, leverage and returns, Journal of Risk 14, 95–122.
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46. P. Klibanoff, M. Marrinacci & S. Mukerji (2005) A smooth model of decision making under ambiguity, Econometrica 73, 1849–1892.

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57. T. Mitton & K. Vorkink (2007) Equilibrium under diversification and the preference for skewness, Review of Financial Studies 20, 1255–1288.

58. T. R. Bielecki, I. Cialenco, I. Iyigunler & R. Rodriguez (2013) Dynamic conic finance: Pricing and hedging in market models with transaction costs via dynamic coherent acceptability indices, International Journal of Theoretical and Applied Finance, doi: 10.1142/S0219024913500027.

1. On conditional distortion risk measures under uncertainty. (2025). Hu, Yijun ; Gong, Shuo ; Wei, Linxiao.
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   RePEc:arx:papers:2211.00520.

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2. Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions. (2023). Bielecki, Tomasz R ; Cialenco, Igor ; Liu, Hao.
   In: Papers.
   RePEc:arx:papers:2309.02570.

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3. Robust optimized certainty equivalents and quantiles for loss positions with distribution uncertainty. (2023). Tian, Dejian ; Li, Weiwei.
   In: Papers.
   RePEc:arx:papers:2304.04396.

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4. Risk transference constraints in optimal reinsurance. (2022). Balbas, Raquel ; Heras, Antonio.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:103:y:2022:i:c:p:27-40.

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5. Mean‐ρ$\rho$ portfolio selection and ρ$\rho$‐arbitrage for coherent risk measures. (2022). Khan, Nazem ; Herdegen, Martin.
   In: Mathematical Finance.
   RePEc:bla:mathfi:v:32:y:2022:i:1:p:226-272.

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6. Mean-$\rho$ portfolio selection and $\rho$-arbitrage for coherent risk measures. (2021). Khan, Nazem ; Herdegen, Martin.
   In: Papers.
   RePEc:arx:papers:2009.05498.

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7. Representation theorems for WVaR with respect to a capacity. (2020). Tian, Dejian ; Jiang, Long ; Yuan, Hongmin.
   In: Statistics & Probability Letters.
   RePEc:eee:stapro:v:158:y:2020:i:c:s0167715219303013.

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8. On the solution uniqueness in portfolio optimization and risk analysis. (2020). Palczewski, Jan ; Grechuk, Bogdan.
   In: Papers.
   RePEc:arx:papers:1810.11299.

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9. Pricing under dynamic risk measures. (2019). Lepinette, Emmanuel ; Zhao, Peibiao.
   In: Post-Print.
   RePEc:hal:journl:hal-02135232.

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10. Fair Estimation of Capital Risk Allocation. (2019). Bielecki, Tomasz R ; Schmidt, Thorsten ; Pitera, Marcin ; Cialenco, Igor.
    In: Papers.
    RePEc:arx:papers:1902.10044.

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11. A DYNAMIC MODEL OF CENTRAL COUNTERPARTY RISK. (2018). Bielecki, Tomasz R ; Feng, Shibi ; Cialenco, Igor.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:08:n:s0219024918500504.

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12. Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity. (2018). Brandtner, Mario.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:89:y:2018:i:c:p:138-149.

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13. Stochastic distortion and its transformed copula. (2018). Peng, Liang ; Yang, Jingping ; Xie, Jiehua ; Lin, Feng.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:79:y:2018:i:c:p:148-166.

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14. A Dynamic Model of Central Counterparty Risk. (2018). Bielecki, Tomasz R ; Feng, Shibi ; Cialenco, Igor.
    In: Papers.
    RePEc:arx:papers:1803.02012.

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15. The fundamental theorem of mutual insurance. (2017). Albrecht, Peter ; Huggenberger, Markus.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:75:y:2017:i:c:p:180-188.

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16. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (2017). Bielecki, Tomasz R ; Pitera, Marcin ; Cialenco, Igor.
    In: Papers.
    RePEc:arx:papers:1603.09030.

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17. A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time. (2017). Bielecki, Tomasz R. ; Pitera, Marcin ; Cialenco, Igor.
    In: Papers.
    RePEc:arx:papers:1409.7028.

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18. CONIC PORTFOLIO THEORY. (2016). Madan, Dilip B.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:19:y:2016:i:03:n:s0219024916500199.

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19. Spektrale Risikomaße: Konzeption, betriebswirtschaftliche Anwendungen und Fallstricke. (2016). Brandtner, Mario.
    In: Management Review Quarterly.
    RePEc:spr:manrev:v:66:y:2016:i:2:d:10.1007_s11301-015-0116-1.

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20. New class of distortion risk measures and their tail asymptotics with emphasis on VaR. (2016). Yin, Chuancun.
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    RePEc:arx:papers:1503.08586.

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21. Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo ; Ceretta, Paulo Sergio.
    In: Papers.
    RePEc:arx:papers:1501.02007.

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22. Analytical approximation for distorted expectations. (2015). Sun, Xianming ; Gan, Siqing ; Vanmaele, Michele.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:107:y:2015:i:c:p:246-252.

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23. The center of a convex set and capital allocation. (2015). Grechuk, Bogdan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:243:y:2015:i:2:p:628-636.

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24. Optimal Dynamic Portfolio with Mean-CVaR Criterion. (2013). Xu, Mingxin ; Li, Jing.
    In: Risks.
    RePEc:gam:jrisks:v:1:y:2013:i:3:p:119-147:d:30341.

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25. Conditional Value-at-Risk, spectral risk measures and (non-)diversification in portfolio selection problems – A comparison with mean–variance analysis. (2013). Brandtner, Mario.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5526-5537.

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26. The natural Banach space for version independent risk measures. (2013). Pichler, Alois.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:2:p:405-415.

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27. Consistent modeling of risk averse behavior with spectral risk measures. (2013). Mazzoni, Thomas ; Wachter, Hans Peter .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:229:y:2013:i:2:p:487-495.

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28. Optimal Dynamic Portfolio with Mean-CVaR Criterion. (2013). Xu, Mingxin ; Li, Jing.
    In: Papers.
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29. Stable solutions for optimal reinsurance problems involving risk measures. (2011). Balbas, Beatriz ; Heras, Antonio.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:214:y:2011:i:3:p:796-804.

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30. Concave Distortion Semigroups. (2011). Damir Filipovi'c, ; Cherny, Alexander.
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    RePEc:arx:papers:1104.0508.

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31. Asymptotic distribution of law-invariant risk functionals. (2010). Wozabal, Nancy ; Pflug, Georg.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:14:y:2010:i:3:p:397-418.

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32. Minimizing Conditional Value-at-Risk under Constraint on Expected Value. (2010). Xu, Mingxin ; Li, Jing.
    In: MPRA Paper.
    RePEc:pra:mprapa:26342.

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33. Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness. (2010). Madan, Dilip B..
    In: JRFM.
    RePEc:gam:jjrfmx:v:3:y:2010:i:1:p:1-25:d:28367.

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34. Extending pricing rules with general risk functions. (2010). Balbas, Raquel ; Garrido, Jose.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:201:y:2010:i:1:p:23-33.

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35. Minimizing the Risk of a Financial Product Using a Put Option. (2010). Vanmaele, Michele ; Deelstra, Griselda ; Vyncke, David.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:77:y:2010:i:4:p:767-800.

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36. Auto-static for the people: risk-minimizing hedges of barrier options. (2009). Siven, Johannes ; Poulsen, Rolf.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:12:y:2009:i:3:p:193-211.

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37. RISK MEASURES ON ORLICZ HEARTS. (2009). Li, Tianhui ; Cheridito, Patrick.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:19:y:2009:i:2:p:189-214.

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38. CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK. (2009). Cherny, Alexander S..
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:19:y:2009:i:1:p:13-40.

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39. Tradable measure of risk. (2007). Xu, Mingxin ; Vecer, Jan ; Pospisil, Libor .
    In: MPRA Paper.
    RePEc:pra:mprapa:5059.

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