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Search: subject:"Dynamic Risk Measures"
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Theorie
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1
Multivariate dynamic cash sub-additive risk measures for processes
Sun, Fei
;
Luo, Kui
;
Feng, Yu
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-13
Persistent link: https://www.econbiz.de/10013371188
Saved in:
2
Reinforcement learning with dynamic convex risk measures
Coache, Anthony
;
Jaimungal, Sebastian
- In:
Mathematical finance : an international journal of …
34
(
2024
)
2
,
pp. 557-587
Persistent link: https://www.econbiz.de/10014514792
Saved in:
3
Contributions to the theory of
dynamic
risk
measures
Schlotter, Ruben
-
2021
Persistent link: https://www.econbiz.de/10013280212
Saved in:
4
Scalar multivariate risk measures with a single eligible asset
Feinstein, Zachary
;
Rudloff, Birgit
- In:
Mathematics of operations research
47
(
2022
)
2
,
pp. 899-922
Persistent link: https://www.econbiz.de/10013365032
Saved in:
5
Set-valued
dynamic
risk
measures
for bounded discrete-time processes
Chen, Yanhong
;
Hu, Yijun
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012270994
Saved in:
6
Time-consistency of risk measures : how strong is such a property?
Mastrogiacomo, Elisa
;
Rosazza Gianin, Emanuela
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
1
,
pp. 287-317
Persistent link: https://www.econbiz.de/10012065238
Saved in:
7
Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Chen, Yi-Ting
;
Sun, Edward W.
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 653-684
Persistent link: https://www.econbiz.de/10012053020
Saved in:
8
Risk-averse approximate dynamic programming with quantile-based risk measures
Jiang, Daniel R.
;
Powell, Warren B.
- In:
Mathematics of operations research
43
(
2018
)
2
,
pp. 554-579
Persistent link: https://www.econbiz.de/10011868618
Saved in:
9
Time consistency for set-valued
dynamic
risk
measures
for bounded discrete-time processes
Chen, Yanhong
;
Hu, Yijun
- In:
Mathematics and financial economics
12
(
2018
)
3
,
pp. 305-333
Persistent link: https://www.econbiz.de/10011963856
Saved in:
10
Conditional expectiles, time consistency and mixture convexity properties
Bellini, Fabio
;
Bignozzi, Valeria
;
Puccetti, Giovanni
- In:
Insurance / Mathematics & economics
82
(
2018
),
pp. 117-123
Persistent link: https://www.econbiz.de/10011929844
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