Ilya Molchanov

University of Bern - Department of Mathematical Statistics and Actuarial Science

Bern, 3012

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

30

CITATIONS

0

Scholarly Papers (3)

1.

Multivariate Risk Measures: A Constructive Approach Based on Selections

Mathematical Finance, Vol. 26, Issue 4, pp. 867-900, 2016
Number of pages: 34 Posted: 20 Sep 2016
Ilya Molchanov and Ignacio Cascos
University of Bern - Department of Mathematical Statistics and Actuarial Science and Universidad Carlos III de Madrid
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Abstract:

exchange cone, random set, selection, set‐valued portfolio, set‐valued risk measure, transaction costs

2.

Risk Arbitrage and Hedging to Acceptability

Number of pages: 53 Posted: 25 May 2016 Last Revised: 02 Jun 2016
Emmanuel Lepinette and Ilya Molchanov
Université Paris-Dauphine - CEREMADE, CNRS and University of Bern - Department of Mathematical Statistics and Actuarial Science
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Abstract:

acceptance set, risk arbitrage, risk measure, superhedging, solvency set, random set, transaction costs

3.

Applications of Random Set Theory in Econometrics

Annual Review of Economics, Vol. 6, pp. 229-251, 2014
Posted: 08 Aug 2014
Ilya Molchanov and Francesca Molinari
University of Bern - Department of Mathematical Statistics and Actuarial Science and Cornell University - Department of Economics

Abstract: