Philippe Artzner : Citation Profile


Are you Philippe Artzner?

Université de Strasbourg

3

H index

2

i10 index

1543

Citations

RESEARCH PRODUCTION:

5

Articles

RESEARCH ACTIVITY:

   21 years (1978 - 1999). See details.
   Cites by year: 73
   Journals where Philippe Artzner has often published
   Relations with other researchers
   Recent citing documents: 319.    Total self citations: 0 (0 %)

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   Permalink: http://citec.repec.org/par196
   Updated: 2019-10-15    RAS profile: 2010-04-10    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Philippe Artzner.

Is cited by:

cotter, john (15)

Guillen, Montserrat (10)

Alexander, Gordon (9)

Csóka, Péter (9)

Danielsson, Jon (9)

Baptista, Alexandre (9)

Prigent, Jean-Luc (8)

Schumacher, Johannes (7)

GUEGAN, Dominique (7)

Zenios, Stavros (7)

Fabozzi, Frank (7)

Cites to:

Main data


Where Philippe Artzner has published?


Journals with more than one article published# docs
Mathematical Finance3

Recent works citing Philippe Artzner (2018 and 2017)


YearTitle of citing document
2017Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim. In: The Energy Journal. RePEc:aen:journl:ej38-3-hanly.

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2017NOTE ON SIMPLE AND LOGARITHMIC RETURN. (2017). Panna, Miskolczi. In: APSTRACT: Applied Studies in Agribusiness and Commerce. RePEc:ags:apstra:265595.

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2017On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation. (2017). Stadje, Mitja ; Madan, Dilip ; Pistorius, Martijn. In: Papers. RePEc:arx:papers:1301.3531.

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

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2017Randomized versions of Mazur lemma and Krein-Smulian theorem. (2017). Jos'e Miguel Zapata, . In: Papers. RePEc:arx:papers:1411.6256.

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2018A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1510.05561.

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2017Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218.

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2017Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables. (2017). Wallace, Stein ; Fairbrother, Jamie ; Turner, Amanda . In: Papers. RePEc:arx:papers:1511.04935.

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2018A composition between risk and deviation measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1511.06943.

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2017Optimal Control of Conditional Value-at-Risk in Continuous Time. (2017). Miller, Christopher W ; Yang, Insoon . In: Papers. RePEc:arx:papers:1512.05015.

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2017Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading. (2017). Hofers, Imke ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:1602.00570.

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2017Comonotonic risk measures in a world without risk-free assets. (2017). Svindland, Gregor ; Koch-Medina, Pablo ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1602.05477.

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2017General dynamic term structures under default risk. (2017). Fontana, Claudio ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.03198.

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2017On random convex analysis. (2017). Guo, Tiexin ; Yuan, George ; Yang, Bixuan ; Wu, Mingzhi ; Zhang, Erxin . In: Papers. RePEc:arx:papers:1603.07074.

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2017A 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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2017On the properties of the Lambda value at risk: robustness, elicitability and consistency. (2017). Burzoni, Matteo ; Ruffo, Chiara Maria ; Peri, Ilaria. In: Papers. RePEc:arx:papers:1603.09491.

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2019Dual representations for systemic risk measures. (2016). Rudloff, Birgit ; Ararat, Ccaugin. In: Papers. RePEc:arx:papers:1607.03430.

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2018The Fatou Closedness under Model Uncertainty. (2018). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085.

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2017Closedness of convex sets in Orlicz spaces with applications to dual representation of risk measures. (2017). Gao, Niushan ; Xanthos, Foivos ; Leung, Denny H. In: Papers. RePEc:arx:papers:1610.08806.

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2019Conditional nonlinear expectations. (2017). Bartl, Daniel. In: Papers. RePEc:arx:papers:1612.09103.

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2017Worst-Case Expected Shortfall with Univariate and Bivariate Marginals. (2017). Dhara, Anulekha ; Natarajan, Karthik ; Das, Bikramjit. In: Papers. RePEc:arx:papers:1701.04167.

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2017Fatou Property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. (2017). Gao, Niushan ; Xanthos, Foivos ; Munari, Cosimo ; Leung, Denny H. In: Papers. RePEc:arx:papers:1701.05967.

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2017Existence, uniqueness and stability of optimal portfolios of eligible assets. (2017). Koch-Medina, Pablo ; Baes, Michel ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1702.01936.

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2018Multivariate Geometric Expectiles. (2018). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius. In: Papers. RePEc:arx:papers:1704.01503.

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2017Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1704.02505.

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2018Data and uncertainty in extreme risks - a nonlinear expectations approach. (2018). Cohen, Samuel N. In: Papers. RePEc:arx:papers:1705.08301.

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2017Growth-Optimal Portfolio Selection under CVaR Constraints. (2017). Uziel, Guy ; El-Yaniv, Ran . In: Papers. RePEc:arx:papers:1705.09800.

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2019Computational aspects of robust optimized certainty equivalents and option pricing. (2018). Bartl, Daniel ; Tangpi, Ludovic ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1706.10186.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715.

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2018Surplus-invariant risk measures. (2018). Gao, Niushan ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1707.04949.

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2018Extended Gini-type measures of risk and variability. (2018). Berkhouch, Mohammed ; Lakhnati, Ghizlane. In: Papers. RePEc:arx:papers:1707.07322.

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2018A robust approach for minimization of risk measurement errors. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2017Vector-Valued Multivariate Conditional Value-at-Risk. (2017). Merakli, Merve ; Kucukyavuz, Simge . In: Papers. RePEc:arx:papers:1708.01324.

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2017Portfolio Optimization with Entropic Value-at-Risk. (2017). Ahmadi-Javid, Amir ; Fallah-Tafti, Malihe . In: Papers. RePEc:arx:papers:1708.05713.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017Managing Volatility Risk: An Application of Karhunen-Lo\`eve Decomposition and Filtered Historical Simulation. (2017). Yao, Jinglun ; Laurent, Sabine. In: Papers. RePEc:arx:papers:1710.00859.

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2017A General Framework for Portfolio Theory. Part I: theory and various models. (2017). Maier-Paape, Stanislaus ; Zhu, Qiji Jim. In: Papers. RePEc:arx:papers:1710.04579.

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2017A continuous selection for optimal portfolios under convex risk measures does not always exist. (2017). Baes, Michel ; Munari, Cosimo. In: Papers. RePEc:arx:papers:1711.00370.

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2018Optimizing S-shaped utility and implications for risk management. (2018). Armstrong, John ; Brigo, Damiano. In: Papers. RePEc:arx:papers:1711.00443.

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2017Multi-currency reserving for coherent risk measures. (2017). Jacka, Saul ; Berkaoui, Abdel ; Armstrong, Seb . In: Papers. RePEc:arx:papers:1712.01319.

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2018On a capital allocation principle coherent with the Solvency 2 standard formula. (2018). Baione, Fabio ; Granito, Ivan ; de Angelis, Paolo. In: Papers. RePEc:arx:papers:1801.09004.

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2018Ambiguity in defaultable term structure models. (2018). Fadina, Tolulope ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1801.10498.

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2019Computation of optimal transport and related hedging problems via penalization and neural networks. (2018). Eckstein, Stephan ; Kupper, Michael. In: Papers. RePEc:arx:papers:1802.08539.

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2019Spatial risk measures and rate of spatial diversification. (2018). Koch, Erwan. In: Papers. RePEc:arx:papers:1803.07041.

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2018Preference Elicitation and Robust Optimization with Multi-Attribute Quasi-Concave Choice Functions. (2018). Haskell, William B ; Xu, Huifu ; Huang, Wenjie. In: Papers. RePEc:arx:papers:1805.06632.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018Concentration of dynamic risk measures in a Brownian filtration. (2018). Tangpi, Ludovic. In: Papers. RePEc:arx:papers:1805.09014.

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2019Risk measures with markets volatility. (2019). Hu, Yijun ; Sun, Fei. In: Papers. RePEc:arx:papers:1806.01166.

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2018Optimal portfolio selection in an It\^o-Markov additive market. (2018). Palmowski, Zbigniew ; Sulima, Anna ; Stettner, Lukasz. In: Papers. RePEc:arx:papers:1806.03496.

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2019Quasiconvex risk measures with markets volatility. (2019). Hu, Yijun ; Sun, Fei. In: Papers. RePEc:arx:papers:1806.08701.

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2019A theory for combinations of risk measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1807.01977.

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2019Capital Regulation under Price Impacts and Dynamic Financial Contagion. (2018). Feinstein, Zachary. In: Papers. RePEc:arx:papers:1807.02711.

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2018Portfolio Optimization with Nondominated Priors and Unbounded Parameters. (2018). Ugurlu, Kerem. In: Papers. RePEc:arx:papers:1807.05773.

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2019Scalar multivariate risk measures with a single eligible asset. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1807.10694.

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2018Law-invariant insurance pricing and its limitations. (2018). Bellini, Fabio ; Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1808.00821.

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2019Risk-based optimal portfolio of an insurer with regime switching and noisy memory. (2018). Kufakunesu, Rodwell ; Mabitsela, Lesedi ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04604.

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2018A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations. (2018). Mabitsela, Lesedi ; Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.04611.

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2018Scenario-based Risk Evaluation. (2018). Wang, Ruodu ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1808.07339.

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2018The distortion principle for insurance pricing: properties, identification and robustness. (2018). Escobar, Daniela ; Pflug, Georg. In: Papers. RePEc:arx:papers:1809.06592.

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2019Robustness in the Optimization of Risk Measures. (2018). Embrechts, Paul ; Wang, Ruodu ; Schied, Alexander. In: Papers. RePEc:arx:papers:1809.09268.

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2018Monotone Sharpe ratios and related measures of investment performance. (2018). Zhitlukhin, Mikhail. In: Papers. RePEc:arx:papers:1809.10193.

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2018Classifying Markets up to Isomorphism. (2018). Armstrong, John. In: Papers. RePEc:arx:papers:1810.03546.

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2019Time consistency for scalar multivariate risk measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1810.04978.

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2018Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja. In: Papers. RePEc:arx:papers:1811.09615.

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2018A Residual Bootstrap for Conditional Expected Shortfall. (2018). Telg, Sean ; Heinemann, Alexander. In: Papers. RePEc:arx:papers:1811.11557.

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2018Monetary Measures of Risk. (2018). Hamel, Andreas H. In: Papers. RePEc:arx:papers:1812.04354.

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2019Systemic risk measures with markets volatility. (2019). Sun, Fei ; Hu, Yijun. In: Papers. RePEc:arx:papers:1812.06185.

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

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2019Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions. (2019). Feng, YU. In: Papers. RePEc:arx:papers:1903.00590.

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2019Kernel Based Estimation of Spectral Risk Measures. (2019). Sen, Rituparna ; Biswas, Suparna . In: Papers. RePEc:arx:papers:1903.03304.

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2019Computation of systemic risk measures: a mixed-integer linear programming approach. (2019). Meimanjanov, Nurtai ; Ararat, Ccaugin. In: Papers. RePEc:arx:papers:1903.08367.

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2019Portfolio optimization with two coherent risk measures. (2019). Ararat, Ccaugin ; Akturk, Tahsin Deniz. In: Papers. RePEc:arx:papers:1903.10454.

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2019Loss-based risk statistics with set-valued analysis. (2019). Sun, Fei. In: Papers. RePEc:arx:papers:1904.08829.

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2019Loss-based risk statistics with scenario analysis. (2019). Sun, Fei. In: Papers. RePEc:arx:papers:1904.11032.

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2019Risk measures and progressive enlargement of filtration: a BSDE approach. (2019). Gianin, Emanuela Rosazza ; RosazzaGianin, Emanuela ; Calvia, Alessandro. In: Papers. RePEc:arx:papers:1904.13257.

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2019Cash sub-additive risk statistics with scenario analysis. (2019). Sun, Fei. In: Papers. RePEc:arx:papers:1905.00486.

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2019Relative Bound and Asymptotic Comparison of Expectile with Respect to Expected Shortfall. (2019). Tadese, Mekonnen ; Drapeau, Samuel. In: Papers. RePEc:arx:papers:1906.09729.

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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019A simple approach to dual representations of systemic risk measures. (2019). Munari, Cosimo ; Koch-Medina, Pablo ; Arduca, Maria. In: Papers. RePEc:arx:papers:1906.10933.

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2019Location and portfolio selection problems: A unified framework. (2019). Scozzari, Andrea ; Rodr, Moises ; Puerto, Justo. In: Papers. RePEc:arx:papers:1907.07101.

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2019SlideVaR: a risk measure with variable risk attitudes. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1907.11855.

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2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

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2019Risk-Control Strategies. (2019). Hachem, Saeb ; Gaillardetz, Patrice . In: Papers. RePEc:arx:papers:1908.02228.

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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2019Is being `Robust beneficial?: A perspective from the Indian market. (2019). Chakrabarty, Siddhartha P ; Oberoi, Shashank ; Girach, Mohammed Bilal. In: Papers. RePEc:arx:papers:1908.05002.

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2019Systemic Risk in Vietnam Stock Market. (2019). van Vu, Thi Thuy ; Tran, Dang Kham. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2019:p:339-352.

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2019Systemic Risk and Collateral Adequacy. (2019). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:19-23.

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2018Robust Maximum Detection: Full Information Best Choice Problem under Multiple Priors. (2018). Obradovi, Lazar. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:580.

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2018Markov Chains under Nonlinear Expectation. (2018). Blanchard, Philippe ; Gandolfo, D ; Chayes, L. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:588.

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2017Model Uncertainty Effect on Asset Prices. (2017). Tian, Weidong ; Jiang, Junya. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:205-233.

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2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:952.

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2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:953.

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2018Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading. (2018). Imke, Redeker ; Ralf, Wunderlich. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:1-21:n:1.

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2018Distortion risk measures, ROC curves, and distortion divergence. (2018). Schumacher, Johannes ; Johannes, Schumacher. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:35-50:n:3.

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2018Optimal expected utility risk measures. (2018). Sebastian, Geissel ; Thomas, Seifried Frank ; Jorn, Sass. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:73-87:n:5.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Golden options in financial mathematics. (2018). Aparicio, Raquel Balbas ; de la Corte, Alejandro Balbas. In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:27672.

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2017RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES. (2017). Boonen, Tim J. In: ASTIN Bulletin: The Journal of the International Actuarial Association. RePEc:cup:astinb:v:47:y:2017:i:01:p:303-329_00.

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More than 100 citations found, this list is not complete...

Works by Philippe Artzner:


YearTitleTypeCited
1995APPROXIMATE COMPLETENESS WITH MULTIPLE MARTINGALE MEASURES In: Mathematical Finance.
[Full Text][Citation analysis]
article7
1995DEFAULT RISK INSURANCE AND INCOMPLETE MARKETS In: Mathematical Finance.
[Full Text][Citation analysis]
article31
1999Coherent Measures of Risk In: Mathematical Finance.
[Full Text][Citation analysis]
article1502
1990Finem Lauda or the risks in swaps In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article3
1978Boundary behavior of supply : A continuity property of the maximizing correspondence In: Journal of Mathematical Economics.
[Full Text][Citation analysis]
article0

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