Multivariate dynamic cash sub-additive risk measures for processes
From MaRDI portal
Recommendations
Cites work
- A comparison of techniques for dynamic multivariate risk measures
- Beyond cash-additive risk measures: when changing the numéraire fails
- Cash subadditive risk measures and interest rate ambiguity
- Coherent and convex risk measures for portfolios with applications
- Coherent multiperiod risk adjusted values and Bellman's principle
- Comonotonic measures of multivariate risks
- Composite time-consistent multi-period risk measure and its application in optimal portfolio selection
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Consistent risk measures for portfolio vectors
- Dynamic monetary risk measures for bounded discrete-time processes
- Law invariant risk measures on L^( R^d)
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- Risk measures for processes and BSDEs
- SET-VALUED CASH SUB-ADDITIVE RISK MEASURES
- Set-valued dynamic risk measures for bounded discrete-time processes
- Set-valued loss-based risk measures
- Stochastic finance. An introduction in discrete time
- Time consistency and time consistent generalized convex multistage risk measures
- Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
- Time consistency of dynamic risk measures in markets with transaction costs
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Vector-valued coherent risk measures
Cited in
(4)
This page was built for publication: Multivariate dynamic cash sub-additive risk measures for processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5866977)
