Nazem Khan

University of Warwick - Department of Statistics

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

176

SSRN CITATIONS

0

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 125 (290,244)

Abstract:

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

2.

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 28 (603,735)

Abstract:

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

3.

Sensitivity to large losses and ρ-arbitrage for convex risk measures

Number of pages: 40 Posted: 11 Oct 2021
Martin Herdegen and Nazem Khan
University of Warwick - Department of Statistics and University of Warwick - Department of Statistics
Downloads 23 (637,021)

Abstract:

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