Coherent and convex fair pricing and variability measures

DOI10.1016/J.IJAR.2007.06.010MaRDI QIDQ2379324zbMATH OpenOpenAlexFDO

Authors Sebastian Maaß

Publication date 19 March 2010

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2007.06.010

zbMATH Keywords

coherent previsionscoherent risk measuresconvex previsionsconvex risk measuresfair pricevariability measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• Convex measures of risk and trading constraints
• Pricing with Coherent Risk
• Convex imprecise previsions
• Entropy coherent and entropy convex measures of risk

Cites work

• Coherent measures of risk
• Convex imprecise previsions
• Exact functionals and their core
• Generalized deviations in risk analysis
• scientific article; zbMATH DE number 48344 (Why is no real title available?)
• scientific article; zbMATH DE number 2046106 (Why is no real title available?)
• Non-additive measure and integral
• Stochastic finance. An introduction in discrete time
• Uncertainty modelling and conditioning with convex imprecise previsions

Cited in

(3)

• The fundamental theorems of prevision and asset pricing
• IMPRECISE PREVISIONS FOR RISK MEASUREMENT
• An uncertain bi-objective mean-entropy model for portfolio selection with realistic factors

This page was built for publication: Coherent and convex fair pricing and variability measures

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2379324)