A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle

The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

Walter Schachermayer · Mathematical Finance · 2003 · 286 citations

Business, Economics, Finance +13

Hedging and liquidation under transaction costs in currency markets

Yuri Kabanov · Finance and Stochastics · 1999 · 263 citations

Business, Economics, Finance +14

An Outer Approximation Algorithm for Generating All Efficient Extreme Points in the Outcome Set of a Multiple Objective Linear Programming Problem

Harold P. Benson · Journal of Global Optimization · 1998 · 196 citations

Natural Sciences, Computer Science, Algorithms +12

Vector-valued coherent risk measures

Elyès Jouini, Moncef Meddeb, Nizar Touzi · Finance and Stochastics · 2004 · 180 citations

Management, Finance, Risk Management +11

Duality for Set-Valued Measures of Risk

Andreas H. Hamel, Frank Heyde · SIAM Journal on Financial Mathematics · 2010 · 156 citations

Business, Finance, Risk Management +17