COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME

DOI10.1142/S0219024911006292zbMath1211.91147MaRDI QIDQ3086259

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006292

zbMATH Keywords

time-consistency; dynamic risk measures; dual representations

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G48: Generalizations of martingales

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