Compatibility between pricing rules and risk measures: The CCVaR (Q5852466)

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scientific article; zbMATH DE number 5663433
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Compatibility between pricing rules and risk measures: The CCVaR
scientific article; zbMATH DE number 5663433

    Statements

    Compatibility between pricing rules and risk measures: The CCVaR (English)
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    27 January 2010
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    risk measure
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    pricing rule
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    unbounded optimization problem
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    compatibility
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    compatible conditional value at risk
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