Convex risk measures for good deal bounds
Year of publication: |
2014
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Authors: | Arai, Takuji ; Fukasawa, Masaaki |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 3, p. 464-484
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Subject: | convex risk measure | good deal bound | Orlicz space | risk indifference price | fundamental theorem of asset pricing | Risiko | Risk | Unvollkommener Markt | Incomplete market | Derivat | Derivative | Messung | Measurement | Optionspreistheorie | Option pricing theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | CAPM |
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