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Rachev, Svet-lozar, Sergio Ortobelli, Stoyan Stoyanov, J. FABOZZI FRANK, and Almira Biglova. "Desirable properties of an ideal risk measure in portfolio theory." International Journal of Theoretical and Applied Finance 11, no. 01 (2008): 19-54. doi:10.1142/S0219024908004713

has been cited by the following article:

• TITLE: A New Class of Time-Consistent Dynamic Risk Measures and its Application

  AUTHORS: Rui Gao, Zhiping Chen

  KEYWORDS: Dynamic Risk Measure; Time-Consistent; Cash-Subadditive; Portfolio Optimization; Stochastic Programming

  JOURNAL NAME: Technology and Investment, Vol.4 No.1B, January 17, 2013

  ABSTRACT: We construct a new time consistent dynamic convex cash-subadditive risk measure in this paper. Different from exist-ing measures, both potential loss and volatility of risky objects are considered. Based on a one-period measure that dis-torts financial values, punishes downside risk yet rewards upside potential, a dynamic time consistent version is con-structed recursively through a modified translation property. We then establish a portfolio selection model and give its optimal condition.