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Convex functions and Orlicz spaces
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The article was published on 1961-01-01 and is currently open access. It has received 1567 citations till now. The article focuses on the topics: Birnbaum–Orlicz space & Subderivative.read more
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Convex measures of risk and trading constraints
Hans Föllmer,Alexander Schied +1 more
TL;DR: In this paper, the authors introduce the notion of a convex measure of risk, an extension of the concept of a coherent risk measure defined in Artzner et al. (1999), and prove a corresponding extension of representation theorem in terms of probability measures on the underlying space of scenarios.
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Convex measures of risk and trading constraints
Hans Föllmer,Alexander Schied +1 more
TL;DR: The notion of a convex measure of risk is introduced, an extension of the concept of a coherent risk measure defined in Artzner et al. (1999), and a corresponding extensions of the representation theorem in terms of probability measures on the underlying space of scenarios are proved.
Journal ArticleDOI
The asymptotic elasticity of utility functions and optimal investment in incomplete markets
TL;DR: In this article, the authors studied the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market and showed that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theory to hold true is the requirement that the asymptotic elasticity of the utility function is strictly less then one.
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Uniform Central Limit Theorems
TL;DR: In this paper, Donsker's theorem, metric entropy and inequalities, and the universal and uniform central limit theorems are discussed. But they do not consider the two-sample case, the bootstrap case, and confidence sets.