Dynamic coherent risk measures
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Cites work
- Axiomatic characterization of insurance prices
- CHOQUET PRICING FOR FINANCIAL MARKETS WITH FRICTIONS
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Dynamic choice and nonexpected utility
- scientific article; zbMATH DE number 1795843 (Why is no real title available?)
- On dynamic measure of risk
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- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
Cited in
(only showing first 100 items - show all)- Time consistent dynamic risk processes
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- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk Measures and Robust Optimization Problems
- Tight approximations of dynamic risk measures
- Dynamic conic finance via backward stochastic difference equations
- Minimum average value-at-risk for finite horizon semi-Markov decision processes in continuous time
- Stability of multistage stochastic programs incorporating polyhedral risk measures
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
- Dynamic Financial Risk Management
- Solving ALM problems via sequential stochastic programming
- Liquidity risk theory and coherent measures of risk
- Update rules for convex risk measures
- CAPITAL ALLOCATION AND RISK CONTRIBUTION WITH DISCRETE‐TIME COHERENT RISK
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