Michael Kupper

Vienna Institute of Finance

Nordbergstrasse 15

Vienna, 1090

Austria

SCHOLARLY PAPERS

5

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SSRN CITATIONS
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Top 47,730

in Total Papers Citations

5

CROSSREF CITATIONS

9

Scholarly Papers (5)

1.

Divergence Utilities

Number of pages: 26 Posted: 22 Oct 2007
Alexander S. Cherny and Michael Kupper
Moscow State University and Vienna Institute of Finance
Downloads 731 (45,376)
Citation 7

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Divergence utilities, concave monetary utilities, entropic utility, portfolio optimization, risk sharing

2.

Risk Preferences and their Robust Representation

Number of pages: 49 Posted: 23 Feb 2010 Last Revised: 26 Dec 2010
Michael Kupper and Samuel Drapeau
Vienna Institute of Finance and China Academy of Financial Research (SAIF) and School of Mathematical Sciences
Downloads 535 (67,872)
Citation 13

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Risk Preferences, Risk Measures, Robust Representation

3.

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 162 (236,029)

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

4.

Optimal Capital and Risk Transfers for Group Diversification

Mathematical Finance, Vol. 18, Issue 1, pp. 55-76, January 2008
Number of pages: 22 Posted: 19 Dec 2007
Damir Filipović and Michael Kupper
Ecole Polytechnique Fédérale de Lausanne and Vienna Institute of Finance
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5.

Equilibrium Prices for Monetary Utility Functions

International Journal of Theoretical and Applied Finance, Vol. 11, No. 3, pp. 325-343, 2008
Posted: 02 Dec 2009
Damir Filipović and Michael Kupper
Ecole Polytechnique Fédérale de Lausanne and Vienna Institute of Finance

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Existence of equilibrium prices, monetary utility functions, Pareto optimal allocation, convex consumption constraints