A certain limit of iterated conditional tail expectation

DOI10.1007/978-4-431-99490-9_4MaRDI QIDQ3589942zbMATH OpenOpenAlexFDO

Authors Shigeo Kusuoka

Publication date 21 September 2010

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-4-431-99490-9_4

zbMATH Keywords

conditional tail expectation (CTE)risk measurevalue at risk

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05)

Cited in

(1)

• scientific article; zbMATH DE number 6457777 (Why is no real title available?)

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