Coherent multiperiod risk adjusted values and Bellman's principle
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Publication:2480233
DOI10.1007/s10479-006-0132-6zbMath1132.91484OpenAlexW2069326331MaRDI QIDQ2480233
Philippe Artzner, Hyejin Ku, Jean-Marc Eber, David C. Heath, Freddy Delbaen
Publication date: 31 March 2008
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-006-0132-6
coherenceBellman's principletime consistencycapital requirementrisk-adjusted valuesstability by pasting
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