On convex risk measures on L p -spaces

Acerbi C, Tasche D (2002) On the coherence of expected shortfall. J Bank Financ 26: 1487–1503

Aliprantis CD, Border KC (1994) Infinite dimensional analysis: a Hitchhikers’s guide. Springer, Heidelberg

Barrieu P, Karoui NE (2005) Inf-convolution of risk measures and optimal risk transfer. Financ Stoch 9: 269–298

Biagini S, Frittelli M (2006) On continuity properties and dual representation of convex and monotone functionals on Fréchet lattices. Preprint

Brezis H (1999) Analyse fonctionnelle. Théorie et application. Dunod

Burgert C, Rüschendorf L (2006a) Consistent risk measures for portfolio vectors. Insur Math Econ 38: 289–297

Burgert C, Rüschendorf L (2006b) On the optimal risk allocation problem. Stat Decis 24: 153–171

Cheridito P, Li T (2006) Monetary risk measures on maximal subsets of Orlicz classes. Preprint

Dana RA (2005) A representation result for concave Schur concave functions. Math Financ 14: 613–634

Delbaen F (2002) Coherent risk measures on general probability spaces. In: Sandmann K, Schönbucher P(eds) Advances in finance and stochastics: essays in honor of Dieter Sondermann. Springer, Heidelberg, pp 1–37

Ekeland I, Teman R (1974) Analyse convexe et problèmes variationnels. Dunod

Filipovic D, Kupper M (2006) Equilibrium prices for monetary utility functions. Int J Theor Appl Financ (to appear)

Filipovic D, Kupper M (2007) Monotone and cash-invariant convex functions and hulls. Insur Math Econ 41: 1–16

Föllmer H, Schied A (2004) Stochastic finance: an introduction in discrete time. de Gruyter

Frittelli M, Gianin E (2002) Putting order in risk measures. J Bank Finance 26: 1473–1486

Frittelli M, Scandolo G (2006) Risk measures and capital requirements for processes. Math Financ 16: 589–612

Heath D, Ku H (2004) Pareto equilibria with coherent measures of risk. Math Financ 14: 163–172

Inoue A (2003) On the worst conditional expectation. J Math Anal Appl 286: 237–247

Jouini E, Schachermayer W, Touzi N (2006) Law invariant risk measures have the Fatou property. Adv Math Econ 9: 49–71

Kaina M (2007) Darstellung und Stetigkeitseigenschaften von Risikomaßen. Diplomarbeit, Universität Freiburg

Lo A (1999) The three P’s of total risk management. Finan Anal J 55: 13–26

Nakano Y (2004) Efficient hedging with coherent risk measure. J Math Anal Appl 293: 345–354

Rachev ST, Menn C, Fabozzi F (2005) Fat-tailed and skewed asset return distributions. Wiley Finance, New York

Rockafellar RT, Uryasev S (2002) Conditional value-at-risk for general loss distributions. J Bank Financ 26: 1443–1471

Rüschendorf L (2006) Risk measures for portfolio vectors and allocation of risks. In: Proceedings of Karlsruhe econometric workshop, April 2006 (to appear)

Scandolo G (2004) Models of capital requirements in static and dynamic settings. Econ Notes 33: 415–435

Tasche D (2002) Expected shortfall and beyond. J Bank Financ 26: 1519–1533