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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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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
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Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Rudloff, Birgit; Street, Alexandre; Valladão, Davi M. - In: European journal of operational research : EJOR 234 (2014) 3, pp. 743-750
Persistent link: https://www.econbiz.de/10010360424
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Set-valued dynamic risk measures for processes and for vectors
Chen, Yanhong; Feinstein, Zachary - In: Finance and stochastics 26 (2022) 3, pp. 505-533
Persistent link: https://www.econbiz.de/10013440234