Nazem Khan

University of Warwick - Department of Statistics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

277

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

A Dual Characterisation of Regulatory Arbitrage for Expected Shortfall

Number of pages: 18 Posted: 07 May 2019
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 164 (308,013)

Abstract:

Loading...

portfolio selection, Expected Shortfall, efficient frontier, regulatory arbitrage, fundamental theorem of asset pricing

2.

Sensitivity to Large Losses and ρ-Arbitrage for Convex Risk Measures

Number of pages: 42 Posted: 11 Oct 2021 Last Revised: 15 Feb 2022
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 62 (593,118)

Abstract:

Loading...

portfolio selection, ρ-arbitrage, convex risk measures, dual characterisation, sensitivity to large losses, Expected Shortfall

3.

Mean-ρ portfolio selection and ρ-arbitrage for coherent risk measures

Mathematical Finance
Number of pages: 39 Posted: 02 Nov 2020 Last Revised: 20 Sep 2021
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 51 (650,533)
Citation 1

Abstract:

Loading...

portfolio selection, coherent risk measures, dual characterisation, ρ-arbitrage, fundamental theorem of asset pricing