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Property / author: Martijn R. Pistorius / rank
 
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Latest revision as of 14:13, 14 July 2024

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On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
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    On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation (English)
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    23 October 2017
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    spectral risk measure
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    dynamic risk measure
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    \(g\)-expectation
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    Choquet expectation
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    distortion
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    (strong) time-consistency
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    limit theorem
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    dynamic portfolio optimisation
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    Identifiers

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