Freddy Delbaen

Prof. Freddy Delbaen


Research Focus & Metrics

Academic Career Length

29Years (1998-Present)

(Calculated once Scilit publication data is synced: current year − year of first publication + 1)

Representative Publications

View All Publications
1 October 1998 in Mathematische Annalen
Verified
Journal Article
Closed access
PDF file
FDFreddy Delbaen
Freddy Delbaen
WSW. Schachermayer
W. Schachermayer

9 December 2009 in Finance and Stochastics
Verified
Journal Article
Closed access
PDF file
FDFreddy Delbaen
Freddy Delbaen
SPShige Peng
Shige Peng
Emanuela Rosazza GianinEmanuela Rosazza Gianin
Emanuela Rosazza Gianin

25 February 2010 in Probability Theory and Related Fields
Verified
Journal Article
Closed access
PDF file
FDFreddy Delbaen
Freddy Delbaen
YHYing Hu
Ying Hu
XBXiaobo Bao
Xiaobo Bao

1 May 2009 in ASTIN Bulletin
Verified
Journal Article
Closed access
PDF file
PAPhilippe Artzner
Philippe Artzner
FDFreddy Delbaen
Freddy Delbaen
PKPablo Koch-Medina
Pablo Koch-Medina
This paper is concerned with clarifying the link between risk measurement and capital efficiency. For this purpose we introduce risk measurement as the minimum cost of making a position acceptable by adding an optimal combination of multiple eligible assets. Under certain assumptions, it is shown that these risk measures have properties similar to those of coherent risk measures. The motivation for this paper was the study of a multi-currency setting where it is natural to use simultaneously a domestic and a foreign asset as investment vehicles to inject the capital necessary to make an unacceptable position acceptable. We also study what happens when one changes the unit of account from domestic to foreign currency and are led to the notion of compatibility of risk measures. In addition, we aim to clarify terminology in the field.

1 October 2015 in Finance and Stochastics
Verified
Journal Article
Closed access
PDF file
FDFreddy Delbaen
Freddy Delbaen
FBFabio Bellini
Fabio Bellini
VBValeria Bignozzi
Valeria Bignozzi
JZJohanna F. Ziegel
Johanna F. Ziegel

1 July 2005 in Finance and Stochastics
Verified
Journal Article
Closed access
PDF file
PCPatrick Cheridito
Patrick Cheridito
FDFreddy Delbaen
Freddy Delbaen
MKMichael Kupper
Michael Kupper