# 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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topCheridito, 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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