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Persistent link: https://www.econbiz.de/10010365556
In this paper we explore a novel way to combine the dynamic notion of time-consistency with the static notion of quantile-based coherent risk-measure or spectral risk measure, of which Expected Shortfall is a prime example. We introduce a class of dynamic risk measures in terms of a certain...
Persistent link: https://www.econbiz.de/10013018785