Set-valued risk measures for conical market models

DOI10.1007/s11579-011-0047-0zbMath1275.91077arXiv1011.5986OpenAlexW2124307970WikidataQ60895094 ScholiaQ60895094MaRDI QIDQ1938960

Andreas H. Hamel, Birgit Rudloff, Frank Heyde

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.5986

zbMATH Keywords

transaction costscoherent risk measuresconvex dualityLegendre-Fenchel transformsuper-hedgingset-valued risk measuresconical market model

Mathematics Subject Classification ID

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