DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (Q5488981)
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scientific article; zbMATH DE number 5056728
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY |
scientific article; zbMATH DE number 5056728 |
Statements
DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (English)
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25 September 2006
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distribution-invariant risk measures
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shortfall risk
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utility functions
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dynamic risk measure
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capital requirement
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measure of risk
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dynamic consistency
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measure convexity
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0.9237727
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0.90853816
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0.90094733
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0.8728007
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0.87103987
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0.8700987
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0.87002784
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0.86992705
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