Compatibility between pricing rules and risk measures: The CCVaR
Year of publication: |
2009-01
|
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Authors: | Balbás, Alejandro ; Balbás, Raquel |
Institutions: | Departamento de Economía de la Empresa, Universidad Carlos III de Madrid |
Subject: | Risk Measure | Pricing Rule | Compatibility | Compatible Conditional Value at Risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing ; G22 - Insurance; Insurance Companies ; G23 - Pension Funds; Other Private Financial Institutions |
Source: |
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