Given a monotone convex function on the space of essentially bounded random variables
with the Lebesgue property (order continuity), we consider its extension preserving the …

Motivated by recent axiomatic developments, we study the risk-and ambiguity-averse
investment problem where trading takes place in continuous time over a fixed finite horizon …

The study of expected utility maximization in continuous-time stochastic market models
dates back to the seminal work of Merton 1969 and has since been central to the area of …

We combine forward investment performance processes and ambiguity averse portfolio
selection. We introduce the notion of robust forward criteria which addresses the issues of …

As impressively shown by the financial crisis in 2007/08, contagion effects in financial
networks harbor a great threat for the stability of the entire system. Without sufficient capital …

In the first part of this thesis we deal with a detailed analysis of several classes of conditional
risk measures which are natural generalisations of classical risk measures such as value at …

Univariate risk measures which were primarily introduced for the risk assessment of single
financial products or companies, are already a well-studied research area in the field of …

The terms risk and performance are now a part of everyday language. Despite the fact, that
the meaning of those words is clear on intuitive level, no good unifying definition has been …

As impressively shown by the financial crisis in 2007/08, contagion effects in financial
networks harbor a great threat for the stability of the entire system. Without sufficient capital …

Risks associated to maximum drawdown have been recently formalized as the tail mean of
the maximum drawdown distribution, called Conditional Expected Drawdown (CED). In fact …