Compatibility between pricing rules and risk measures: The CCVaR.

@article{Balbás2009,
author = {Balbás, Alejandro, Balbás, Raquel},
journal = {RACSAM},
keywords = {risk measure; pricing rule; unbounded optimization problem; compatibility; compatible conditional value at risk},
language = {eng},
number = {2},
pages = {251-264},
title = {Compatibility between pricing rules and risk measures: The CCVaR.},
url = {http://eudml.org/doc/43692},
volume = {103},
year = {2009},
}

TY - JOUR
AU - Balbás, Alejandro
AU - Balbás, Raquel
TI - Compatibility between pricing rules and risk measures: The CCVaR.
JO - RACSAM
PY - 2009
VL - 103
IS - 2
SP - 251
EP - 264
LA - eng
KW - risk measure; pricing rule; unbounded optimization problem; compatibility; compatible conditional value at risk
UR - http://eudml.org/doc/43692
ER -