Monetary risk measures for stochastic processes via Orlicz duality
Year of publication: |
2022
|
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Authors: | Kountzakis, Christos E. ; Rossello, Damiano |
Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 45.2022, 1, p. 35-56
|
Subject: | Acceptability indices | Concave monetary utility functionals | Monetary risk measures for processes | Orlicz space duality | Theorie | Theory | Risiko | Risk | Stochastischer Prozess | Stochastic process | Risikomaß | Risk measure | Messung | Measurement | Nutzenfunktion | Utility function | Geldpolitik | Monetary policy |
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