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Persistent link: https://www.econbiz.de/10003899281
We consider the problem of representing claims for coherent risk measures. For this purpose we introduce the concept of (weak and strong) time-consistency with respect to a portfolio of assets, generalizing the one defined in Delbaen [7]. In a similar way we extend the notion of m-stability, by...
Persistent link: https://www.econbiz.de/10009485114