Details about Mitja Stadje

Access statistics for papers by Mitja Stadje.

Last updated 2014-01-17. Update your information in the RePEc Author Service.

Short-id: pst422

Working Papers

2017

1. On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
   Papers, arXiv.org View citations (9)

2014

2. Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)
   Discussion Paper, Tilburg University, Center for Economic Research View citations (15)

2013

3. Time-Consistent and Market-Consistent Evaluations
   Papers, arXiv.org View citations (15)

2011

4. Entropy Coherent and Entropy Convex Measures of Risk
   Discussion Paper, Tilburg University, Center for Economic Research View citations (14)

Journal Articles

2012

1. Existence, minimality and approximation of solutions to BSDEs with convex drivers
   Stochastic Processes and their Applications, 2012, 122, (4), 1540-1565 View citations (4)

2010

2. Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach
   Insurance: Mathematics and Economics, 2010, 47, (3), 391-404 View citations (17)

2009

3. Time-inconsistency of VaR and time-consistent alternatives
   Finance Research Letters, 2009, 6, (1), 40-46 View citations (32)