Time consistency conditions for acceptability measures, with an application to tail value at risk (Q995498)
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scientific article; zbMATH DE number 5186577
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| English | Time consistency conditions for acceptability measures, with an application to tail value at risk |
scientific article; zbMATH DE number 5186577 |
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Time consistency conditions for acceptability measures, with an application to tail value at risk (English)
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3 September 2007
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coherent risk measures
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acceptability measures
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nonlinear expectations
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capital requirements
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incomplete markets
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time consistency
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0.9063433408737184
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0.8588481545448303
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0.8207324743270874
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0.8201996088027954
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0.8097850680351257
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