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Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets. (2003). Ern, Ale .
In: Review of Finance.
RePEc:oup:revfin:v:7:y:2003:i:2:p:191-233..

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Cited: 27

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  1. Fundamental theorem of asset pricing with acceptable risk in markets with frictions. (2023). Munari, Cosimo ; Arduca, Maria.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:27:y:2023:i:3:d:10.1007_s00780-023-00509-x.

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  2. Pricing of index options in incomplete markets. (2022). Freire, Gustavo ; Almeida, Caio.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:144:y:2022:i:1:p:174-205.

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  3. Mean-variance versus utility maximization revisited: The case of constant relative risk aversion. (2021). Kassimatis, Konstantinos .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002556.

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  4. Good-Deal Bounds for Option Prices under Value-at-Risk and Expected Shortfall Constraints. (2020). Sass, Jorn ; Laudage, Christian ; Desmettre, Sascha.
    In: Risks.
    RePEc:gam:jrisks:v:8:y:2020:i:4:p:114-:d:437604.

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  5. Semimartingale theory of monotone mean–variance portfolio allocation. (2020). Černý, Aleš.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:30:y:2020:i:3:p:1168-1178.

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  6. Market-consistent pricing with acceptable risk. (2020). Munari, Cosimo ; Arduca, Maria.
    In: Papers.
    RePEc:arx:papers:2012.08351.

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  7. Semimartingale theory of monotone mean--variance portfolio allocation. (2019). Vcern, Alevs.
    In: Papers.
    RePEc:arx:papers:1903.06912.

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  8. “On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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  9. Hedging under generalized good-deal bounds and model uncertainty. (2017). Kentia, Klebert ; Becherer, Dirk.
    In: Mathematical Methods of Operations Research.
    RePEc:spr:mathme:v:86:y:2017:i:1:d:10.1007_s00186-017-0588-y.

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  10. An SDF Approach to Hedge Funds Tail Risk:Evidence from Brazilian Funds. (2017). Almeida, Caio ; Leal, Laura Simonsen .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:37:y:2017:i:1:a:62104.

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  11. Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert .
    In: Papers.
    RePEc:arx:papers:1607.04488.

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  12. RATIONAL LEARNING FOR RISK-AVERSE INVESTORS BY CONDITIONING ON BEHAVIORAL CHOICES. (2016). Caporin, Massimiliano ; Costola, Michele.
    In: Annals of Financial Economics (AFE).
    RePEc:wsi:afexxx:v:11:y:2016:i:01:n:s2010495216500032.

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  13. Good deal bounds with convex constraints: --- examples and proofs ---. (2016). Arai, Takuji.
    In: Keio-IES Discussion Paper Series.
    RePEc:keo:dpaper:2016-017.

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  14. The Marginal Cost of Risk, Risk Measures, and Capital Allocation. (2016). Bauer, Daniel ; Zanjani, George .
    In: Management Science.
    RePEc:inm:ormnsc:v:62:y:2016:i:5:p:1431-1457.

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  15. Trade-off Between Robust Risk Measurement and Market Principles. (2015). Assa, Hirbod.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:166:y:2015:i:1:d:10.1007_s10957-014-0593-8.

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  16. Dynamic quasi concave performance measures. (2014). Bion-Nadal, Jocelyne ; Biagini, Sara.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:55:y:2014:i:c:p:143-153.

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  17. Hedging, Pareto Optimality, and Good Deals. (2013). Karai, Keivan Mallahi ; Assa, Hirbod.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:157:y:2013:i:3:d:10.1007_s10957-012-0209-0.

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  18. Risk Preferences and Their Robust Representation. (2013). Drapeau, Samuel ; Kupper, Michael.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:38:y:2013:i:1:p:28-62.

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  19. No Good Deals - No Bad Models. (2013). cerrato, mario ; Boyarchenko, Nina ; Nina, Boyarchenko ; Stewart, Hodges ; John, Crosby ; Mario, Cerrato .
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:452.

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  20. Measuring the Economic Significance of Structural Exchange Rate Models. (2011). Kaleem, Muhammad ; cerrato, mario ; Crosby, John.
    In: SIRE Discussion Papers.
    RePEc:edn:sirdps:350.

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  21. Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming. (2010). CamcI, Ahmet ; PInar, Mustafa Ç., ; Salih, Aslihan .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:201:y:2010:i:3:p:770-785.

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  22. Standardized versus customized portfolio: a compensating variation approach. (2009). Prigent, Jean-Luc ; Palma, Andre.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:165:y:2009:i:1:p:161-185:10.1007/s10479-008-0447-6.

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  23. PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES. (2009). Taboga, Marco ; Rustichini, Aldo ; Marinacci, Massimo ; Maccheroni, Fabio.
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:19:y:2009:i:3:p:487-521.

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  24. Dynamic utility-based good deal bounds. (2007). Susanne, Kloppel ; Martin, Schweizer .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:25:y:2007:i:4/2007:p:25:n:3.

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  25. Monetary utility over coherent risk ratios. (2006). Johannes, Leitner .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:24:y:2006:i:1/2006:p:15:n:5.

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  26. Measurement and Pricing of Risk in Insurance Markets. (2005). Desli, Evangelia ; Tsanakas, Andreas.
    In: Risk Analysis.
    RePEc:wly:riskan:v:25:y:2005:i:6:p:1653-1668.

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  27. Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures. (2005). Johannes, Leitner .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:23:y:2005:i:1/2005:p:49-66:n:4.

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  2. Index option returns and generalized entropy bounds. (2021). Liu, Yan.
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  3. Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela.
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  4. A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd.
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  5. Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio.
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  9. Notes on the yield curve. (2019). Martin, Ian ; Ross, Stephen A ; Ian, .
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  11. Term structures of asset prices and returns. (2018). Boyarchenko, Nina ; Chernov, Mikhail ; Backus, David.
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  12. An SDF Approach to Hedge Funds Tail Risk:Evidence from Brazilian Funds. (2017). Almeida, Caio ; Leal, Laura Simonsen .
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  49. Gain, Loss, and Asset Pricing. (2000). Ledoit, Olivier ; Bernardo, Antonio E..
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  50. Is mean-variance analysis applicable to hedge funds?. (1999). Hsieh, David A. ; Fung, William.
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