Monetary risk measures for stochastic processes via Orlicz duality
DOI10.1007/S10203-021-00334-XzbMATH Open1492.91432OpenAlexW3166094970MaRDI QIDQ2145689FDOQ2145689
Authors: Christos E. Kountzakis, Damiano Rossello 
Publication date: 17 June 2022
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-021-00334-x
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- Dynamic monetary risk measures for bounded discrete-time processes
acceptability indicesconcave monetary utility functionalsmonetary risk measures for processesOrlicz space duality
Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; risk measures (91G70)
Cites Work
- Coherent measures of risk
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- Infinite dimensional analysis. A hitchhiker's guide.
- The mathematics of arbitrage
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- Dynamic risk measures
- RISK MEASURES ON ORLICZ HEARTS
- Stopping Times and Directed Processes
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
- Erratum: Coherent and convex risk measures for unbounded càdlàg processes
- Intra‐Horizon expected shortfall and risk structure in models with jumps
- Drawdown: from practice to theory and back again
- Title not available (Why is that?)
- Acceptability indices of performance for bounded càdlàg processes
Cited In (3)
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