Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
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Publication:1648896
DOI10.1007/s11579-017-0205-0zbMath1397.91595MaRDI QIDQ1648896
Publication date: 5 July 2018
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-017-0205-0
time consistency; dynamic risk measures; set-valued risk measures; multi-portfolio time consistency; bounded discrete-time processes
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Conditional Systemic Risk Measures, Scalar Multivariate Risk Measures with a Single Eligible Asset, SET-VALUED LAW INVARIANT COHERENT AND CONVEX RISK MEASURES, Systemic risk statistics with scenario analysis, MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES, Set-valued risk measures as backward stochastic difference inclusions and equations, Time consistency for scalar multivariate risk measures, Set-valued dynamic risk measures for processes and for vectors, Capital allocation with multivariate convex risk measures, SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES
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