Satisfying convex risk limits by trading
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Publication:2488474
DOI10.1007/s00780-004-0137-4zbMath1092.91048OpenAlexW2140964880MaRDI QIDQ2488474
Publication date: 24 May 2006
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0137-4
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Related Items (9)
Risk measure pricing and hedging in the presence of transaction costs ⋮ Asymptotic distribution of law-invariant risk functionals ⋮ Risk measure pricing and hedging in incomplete markets ⋮ Pricing and hedging European options with discrete-time coherent risk ⋮ Computing strategies for achieving acceptability: a Monte Carlo approach ⋮ Understanding option prices ⋮ Randomized stopping times and coherent multiperiod risk measures ⋮ Gain-loss based convex risk limits in discrete-time trading ⋮ CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS
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