Coherent multiperiod risk adjusted values and Bellman's principle

DOI10.1007/s10479-006-0132-6zbMath1132.91484OpenAlexW2069326331MaRDI QIDQ2480233

Philippe Artzner, Hyejin Ku, Jean-Marc Eber, David C. Heath, Freddy Delbaen

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0132-6

zbMATH Keywords

coherence Bellman's principle time consistency capital requirement risk-adjusted values stability by pasting

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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