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Risk Measures

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Optimal Risk-Return Trade-Offs of Commercial Banks

Part of the book series: Lecture Notes in Economics and Mathematical Systems ((LNE,volume 578))

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References

  1. See Knight (1921), p. 233.

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  2. See Crowe and Horn (1967) and Athearn (1971).

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  3. See Holton (2004).

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  4. See Pratt (1964) and Arrow (1970).

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  5. See Levy (1994).

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  6. See Kaduff (1996), pp. 87–93.

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  7. See Kataoka (1963).

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  8. See Telser (1955).

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  9. See Bawa (1975) and Fishburn (1977). For an even more general class of threeparametric risk measures containing the lower partial moment see Stone (1973).

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  10. For a detailed overview about the development of the concept of stochastic dominance see Kaduff (1996), pp. 19–21.

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  11. See Quirk and Saposnik (1962), Fishburn (1964).

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  12. See Hadar and Russel (1969), Hanoch and Levy (1969), Hadar and Russel (1971).

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  13. See Whitmore (1970).

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  14. See Porter (1974), Bawa (1975), Fishburn (1977), Kaduff (1996), pp. 27–31.

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  15. See Pfaff and Kühn (2005).

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  16. See Parsley (1995), p. 42, Duffie and Pan (1997), p. 3, Jorion (2000).

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  17. See Merton and Perold (1993), p. 16, Lehar, Welt, Wiesmayr, and Zechner (1998a), p. 858, Pfaff and Kühn (2005), pp. 185–191.

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  18. See Pfaff and Kühn (2005), pp. 200–204.

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  19. See Artzner, Delbaen, Eber, and Heath (1999).

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  20. A similar example is given by Artzner, Delbaen, Eber, and Heath (1999), pp. 217–218.

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  21. See Tasche (2000), Theiler (2002), Pfaff and Kühn (2005), pp. 204–208.

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  22. See Tasche (2000), pp. 6–7.

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  23. See Artzner, Delbaen, Eber, and Heath (1999), Denault (2001), and Theiler (2002).

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  24. See Artzner, Delbaen, Eber, and Heath (1999).

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© 2006 Springer-Verlag Berlin Heidelberg

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(2006). Risk Measures. In: Optimal Risk-Return Trade-Offs of Commercial Banks. Lecture Notes in Economics and Mathematical Systems, vol 578. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-34821-2_2

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