Maturity-Independent Risk Measures (Q3563694)

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Maturity-Independent Risk Measures
scientific article

    Statements

    title
    Maturity-Independent Risk Measures (English)
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    author
    Thaleia Zariphopoulou
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    Gordan Žitković
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    publication date
    1 June 2010
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    zbMATH Keywords
    risk measures
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    maturity independence
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    incomplete markets
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    forward performance processes
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    exponential utility
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    Identifiers

    DOI
    10.1137/080739732
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    zbMATH DE Number
    5714649
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