Freddy Delbaen

Swiss Federal Institute of Technology at Zurich

ETH-Zentrum

CH-8092 Zurich

Switzerland

SCHOLARLY PAPERS

6

DOWNLOADS

454

SSRN CITATIONS
Rank 16,694

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Top 16,694

in Total Papers Citations

7

CROSSREF CITATIONS

59

Scholarly Papers (6)

1.

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, China Academy of Financial Research (SAIF) and School of Mathematical Sciences and Humboldt University of Berlin - Department of Mathematics
Downloads 246 (161,970)
Citation 1

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

2.

A Von Neumann-Morgenstern Representation Result Without Weak Continuity Assumption

Number of pages: 14 Posted: 12 Mar 2010 Last Revised: 11 Mar 2021
Michael Kupper, Freddy Delbaen and Samuel Drapeau
Vienna Institute of Finance, Swiss Federal Institute of Technology at Zurich and China Academy of Financial Research (SAIF) and School of Mathematical Sciences
Downloads 163 (235,295)

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von Neumann and Morgenstern representation, affine preference orders, automatic continuity, first stochastic order

3.

Exponential Hedging and Entropic Penalties

Number of pages: 25 Posted: 21 Jan 2003
Swiss Federal Institute of Technology at Zurich, Technische Universitat Wien, Eidgenossische Technische Hochschule Zurich (ETHZ), Decision Synergy, ETH Zurich and University of Burgundy Franche-Comté - Laboratoire de Mathematiques
Downloads 24 (630,692)
Citation 5
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Hedging, exponential utility, relative entropy, duality, minimal martingale measure, minimal entropy martingale measure, reverse Holder inequalities

4.

Passport Options

Number of pages: 30 Posted: 07 Feb 2003
Freddy Delbaen and Marc Yor
Swiss Federal Institute of Technology at Zurich and Universite Paris
Downloads 19 (666,044)
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5.

Risk Measures for Non-Integrable Random Variables

Mathematical Finance, Vol. 19, Issue 2, pp. 329-333, April 2009
Number of pages: 5 Posted: 27 Apr 2009
Freddy Delbaen
Swiss Federal Institute of Technology at Zurich
Downloads 2 (801,170)
Citation 2
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6.

Weighted Norm Inequalities and Hedging in Incomplete Markets

FINANCE AND STOCHASTICS, Vol. I No. 2, 1997
Posted: 08 May 1997
Swiss Federal Institute of Technology at Zurich, Besancon at France, Universität Wien, Fakultät für Mathematik, ETH Zurich and Besancon at France

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