Set-valued loss-based risk measures

Coherent Measures of Risk

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber et al. · Mathematical Finance · 1999 · 9K citations · Full text

Business, Finance, Risk Management +14

Convex measures of risk and trading constraints

Hans Föllmer, Alexander Schied · Finance and Stochastics · 2002 · 1.5K citations

Natural Sciences, Finance, Mathematics +14

Putting order in risk measures

Marco Frittelli, Emanuela Rosazza Gianin · Journal of Banking & Finance · 2002 · 715 citations

Business, Risk Management, Risk Analysis +8

AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

Aharon Ben‐Tal, Marc Teboulle · Mathematical Finance · 2007 · 363 citations · Full text

Business, Decision Sciences, Mathematics +17

Vector-valued coherent risk measures

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

Management, Finance, Risk Management +11