SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES

DOI10.1142/S021902492050017XzbMath1447.91158OpenAlexW3029762696MaRDI QIDQ3304202

Hu, Yijun, Yan-Hong Chen

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902492050017x

zbMATH Keywords

dynamic risk measuresset-valued risk measuresrepresentation resultsbounded discrete-time processes

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

Set-valued dynamic risk measures for processes and for vectors ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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