Disentangling price, risk and model risk: V\&R measures

DOI10.1007/s11579-017-0202-3zbMath1404.91138arXiv1703.01329OpenAlexW2763102975MaRDI QIDQ1744203

Marco Maggis, Marco Frittelli

Publication date: 16 April 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1703.01329

zbMATH Keywords

model risktest functionslaw invariant risk measuresquasi-convex dualitypricing uncertaintyvalue and risk measures

Mathematics Subject Classification ID

Duality theory (optimization) (49N15)

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