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References
See Knight (1921), p. 233.
See Crowe and Horn (1967) and Athearn (1971).
See Holton (2004).
See Pratt (1964) and Arrow (1970).
See Levy (1994).
See Kaduff (1996), pp. 87–93.
See Kataoka (1963).
See Telser (1955).
See Bawa (1975) and Fishburn (1977). For an even more general class of threeparametric risk measures containing the lower partial moment see Stone (1973).
For a detailed overview about the development of the concept of stochastic dominance see Kaduff (1996), pp. 19–21.
See Quirk and Saposnik (1962), Fishburn (1964).
See Hadar and Russel (1969), Hanoch and Levy (1969), Hadar and Russel (1971).
See Whitmore (1970).
See Porter (1974), Bawa (1975), Fishburn (1977), Kaduff (1996), pp. 27–31.
See Pfaff and Kühn (2005).
See Parsley (1995), p. 42, Duffie and Pan (1997), p. 3, Jorion (2000).
See Merton and Perold (1993), p. 16, Lehar, Welt, Wiesmayr, and Zechner (1998a), p. 858, Pfaff and Kühn (2005), pp. 185–191.
See Pfaff and Kühn (2005), pp. 200–204.
See Artzner, Delbaen, Eber, and Heath (1999).
A similar example is given by Artzner, Delbaen, Eber, and Heath (1999), pp. 217–218.
See Tasche (2000), Theiler (2002), Pfaff and Kühn (2005), pp. 204–208.
See Tasche (2000), pp. 6–7.
See Artzner, Delbaen, Eber, and Heath (1999), Denault (2001), and Theiler (2002).
See Artzner, Delbaen, Eber, and Heath (1999).
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© 2006 Springer-Verlag Berlin Heidelberg
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(2006). Risk Measures. In: Optimal Risk-Return Trade-Offs of Commercial Banks. Lecture Notes in Economics and Mathematical Systems, vol 578. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-34821-2_2
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