Mansfield Road
Oxford, Oxfordshire OX1 4AU
United Kingdom
University of Oxford
portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing
portfolio selection, ρ-arbitrage, convex risk measures, star-shaped risk measures, dual characterisation, good-deals, ρ-consistent pricing
risk management, portfolio management, leverage, regulatory arbitrage, expected shortfall
payments, lightning network, point processes, stochastic control
portfolio selection, coherent risk measures, dual characterisation, ρ-arbitrage, fundamental theorem of asset pricing
