Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
Year of publication: |
June 2018
|
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Authors: | Chen, Yanhong ; Hu, Yijun |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 12.2018, 3, p. 305-333
|
Subject: | Dynamic risk measures | Set-valued risk measures | Bounded discrete-time processes | Time consistency | Multi-portfolio time consistency | Theorie | Theory | Zeitkonsistenz | Risikomaß | Risk measure | Messung | Measurement |
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