Michael Kupper

Humboldt University of Berlin - Department of Mathematics

Unter den Linden

Berlin, D-10099

Germany

SCHOLARLY PAPERS

6

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Scholarly Papers (6)

1.

Approaches to Conditional Risk

Swiss Finance Institute Research Paper No. 11-02
Number of pages: 36 Posted: 01 Feb 2011 Last Revised: 16 Feb 2012
Damir Filipović, Michael Kupper and Nicolas Vogelpoth
Ecole Polytechnique Fédérale de Lausanne, Humboldt University of Berlin - Department of Mathematics and Vienna Institute of Finance
Downloads 580 (47,891)

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Conditional risk measures, L0-modules, Lp type modules, Monotone hulls, Subcash invariant hulls, Cash invariant hulls

2.

Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences

Number of pages: 30 Posted: 07 Feb 2011 Last Revised: 14 Mar 2013
ETH Zurich, Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics and McMaster University
Downloads 527 (54,080)
Citation 4

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Competitive equilibrium, incomplete markets, heterogenous agents, trading constraints, one-fund theorem

3.

Stochastic Order-Monotone Uncertainty-Averse Preferences

Number of pages: 23 Posted: 04 Mar 2015 Last Revised: 27 Aug 2015
ETH Zurich, Swiss Federal Institute of Technology at Zurich, CAFR and Humboldt University of Berlin - Department of Mathematics
Downloads 219 (144,853)

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Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox

4.

An Equilibrium Model for Spot and Forward Prices of Commodities

Number of pages: 42 Posted: 07 Jun 2016
University of Piraeus - Department of Banking and Financial Management, Humboldt University of Berlin - Department of Mathematics and Technische Universität Berlin (TU Berlin)
Downloads 63 (361,015)

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commodities, equilibrium, spot and forward prices, forward premium, stock and commodity market correlation

5.

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Number of pages: 25 Posted: 10 Jan 2012 Last Revised: 22 Oct 2012
Humboldt University of Berlin, Humboldt University of Berlin - Department of Mathematics, University College London and Humboldt Universitaet zu Berlin, Department of Mathematics
Downloads 53 (392,356)

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Continuous-time equilibrium, exponential utility, CAPM, affine processes, information-based asset pricing, implied volatility

6.

Asymptotically Stable Dynamic Risk Assessments

Number of pages: 15 Posted: 30 Mar 2013
Karl-Theodor Eisele and Michael Kupper
University of Strasbourg and Humboldt University of Berlin - Department of Mathematics
Downloads 29 (489,754)

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asymptotic stability of risk assessments, construction by generators, local test probabilities, robust representation, time-consistency