Optimal stopping under probability distortions
Year of publication: |
August 2017
|
---|---|
Authors: | Belomestny, Denis ; Krätschmer, Volker |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 42.2017, 3, p. 806-833
|
Subject: | coherent risk measures | average value-at-risk | optimal stopping | time-consistency | Suchtheorie | Search theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk |
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