Multi-portfolio time consistency for set-valued convex and coherent risk measures
Zachary Feinstein, Birgit Rudloff
| Year of publication: |
January 2015
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|---|---|
| Authors: | Feinstein, Zachary ; Rudloff, Birgit |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 19.2015, 1, p. 67-107
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| Subject: | Dynamic risk measures | Transaction costs | Set-valued risk measures | Time consistency | Multi-portfolio time consistency | Stability | Theorie | Theory | Zeitkonsistenz | Risikomaß | Risk measure | Messung | Measurement | Risiko | Risk | Transaktionskosten |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-014-0247-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011417030