Time consistency conditions for acceptability measures, with an application to tail value at risk (Q995498): Difference between revisions

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Latest revision as of 13:39, 26 June 2024

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Time consistency conditions for acceptability measures, with an application to tail value at risk
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    Time consistency conditions for acceptability measures, with an application to tail value at risk (English)
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    3 September 2007
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    coherent risk measures
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    acceptability measures
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    nonlinear expectations
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    capital requirements
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    incomplete markets
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    time consistency
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