When estimating the risk of a P&L from historical data or Monte Carlo simulation, the
robustness of the estimate is important. We argue here that Hampel's classical notion of …

Ernst Eberlein Jan Kallsen Page 1 Springer Finance Ernst Eberlein Jan Kallsen Mathematical
Finance Page 2 Springer Finance Editorial Board Marco Avellaneda Giovanni Barone-Adesi …

This paper has been motivated by general considerations on the topic of Risk Measures,
which essentially are convex monotone maps defined on spaces of random variables …

This paper presents novel characterization results for classes of law-invariant star-shaped
functionals. We begin by establishing characterizations for positively homogeneous and star …

The ongoing concern about systemic risk since the outburst of the global financial crisis has
highlighted the need for risk measures at the level of sets of interconnected financial …

Since risky positions in multivariate portfolios can be offset by various choices of capital
requirements that depend on the exchange rules and related transaction costs, it is natural …

We solve, theoretically and numerically, the problems of optimal portfolio choice and
indifference valuation in a general continuous-time setting. The setting features (i) ambiguity …

We discuss risk measures representing the minimum amount of capital a financial institution
needs to raise and invest in a pre-specified eligible asset to ensure it is adequately …

This paper proposes a general duality framework for the problem of minimizing a convex
integral functional over a space of stochastic processes adapted to a given filtration. The …

This paper studies the problem of maximizing the expected utility of terminal wealth for a
financial agent with an unbounded random endowment, and with a utility function which …