Coherent and convex monetary risk measures for bounded càdlàg processes

DOI10.1016/j.spa.2004.01.009zbMath1114.91047OpenAlexW4212855644MaRDI QIDQ2485764

Michael Kupper, Patrick Cheridito, Freddy Delbaen

Publication date: 5 August 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2004.01.009

zbMATH Keywords

Representation theorem Coherent risk measures Càdlàg processes Coherent utility functionals Concave monetary utility functionals Convex monetary risk measures

Mathematics Subject Classification ID

General theory of stochastic processes (60G07)

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