Csóka, Péter; Herings, Jean-Jacques; Kóczy, László - Közgazdaság-tudományi Intézet, Közgazdaság- és … - 2006
Coherent measures of risk defined by the axioms of monotonicity, subadditivity, positive homogeneity, and translation … we call GE measure of risk. We prove that GE measures of risk are coherent measures of risk. We also show that spectral …
M %HELYTANULMÁNYOK DISCUSSION PAPERS
MT-DP – 2006/11
Coherent Measures of Risk …