scientific article; zbMATH DE number 7224244
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Publication:3299448
zbMATH Open1464.60069MaRDI QIDQ3299448FDOQ3299448
Authors: Mitja Stadje 
Publication date: 22 July 2020
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Cites Work
- Coherent measures of risk
- Representation of the penalty term of dynamic concave utilities
- Convex measures of risk and trading constraints
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Dynamic monetary risk measures for bounded discrete-time processes
- Representation results for law invariant time consistent functions
- Coherent multiperiod risk adjusted values and Bellman's principle
- Optimality conditions in portfolio analysis with general deviation measures
- Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
- On iterative premium calculation principles under Cumulative Prospect Theory
- On dynamic deviation measures and continuous-time portfolio optimization
Cited In (2)
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