Dynamic monetary risk measures for bounded discrete-time processes.

Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael

Electronic Journal of Probability [electronic only] (2006)

  • Volume: 11, page 57-106
  • ISSN: 1083-589X

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Cheridito, Patrick, Delbaen, Freddy, and Kupper, Michael. "Dynamic monetary risk measures for bounded discrete-time processes.." Electronic Journal of Probability [electronic only] 11 (2006): 57-106. <http://eudml.org/doc/116757>.

@article{Cheridito2006,
author = {Cheridito, Patrick, Delbaen, Freddy, Kupper, Michael},
journal = {Electronic Journal of Probability [electronic only]},
keywords = {Conditional monetary risk measures; Conditional monetary utility functions; Conditional dual representations; Dynamic monetary risk measures; Dynamic monetary utility functions; Time-consistency; Decomposition property of acceptance sets; Concatenation of adapted increasing processes of integrable variation},
language = {eng},
pages = {57-106},
publisher = {University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham},
title = {Dynamic monetary risk measures for bounded discrete-time processes.},
url = {http://eudml.org/doc/116757},
volume = {11},
year = {2006},
}

TY - JOUR
AU - Cheridito, Patrick
AU - Delbaen, Freddy
AU - Kupper, Michael
TI - Dynamic monetary risk measures for bounded discrete-time processes.
JO - Electronic Journal of Probability [electronic only]
PY - 2006
PB - University of Washington, Department of Mathematics, Seattle, WA; Duke University, Department of Mathematics, Durham
VL - 11
SP - 57
EP - 106
LA - eng
KW - Conditional monetary risk measures; Conditional monetary utility functions; Conditional dual representations; Dynamic monetary risk measures; Dynamic monetary utility functions; Time-consistency; Decomposition property of acceptance sets; Concatenation of adapted increasing processes of integrable variation
UR - http://eudml.org/doc/116757
ER -

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