Compatibility between pricing rules and risk measures: The CCVaR
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Publication:5852466
DOI10.1007/BF03191906zbMath1181.91069OpenAlexW1492433472MaRDI QIDQ5852466
Raquel Balbás, Alejandro Balbas
Publication date: 27 January 2010
Published in: Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/43692
risk measurecompatibilitypricing rulecompatible conditional value at riskunbounded optimization problem
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