RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

DOI10.1111/j.1467-9965.2006.00285.xzbMath1130.91030MaRDI QIDQ3423396

Publication date: 22 February 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00285.x

zbMATH Keywords

dual representation; convex risk measures; risk measures for processes; credit constraint; general capital requirement

Mathematics Subject Classification ID

91B70: Stochastic models in economics

60A10: Probabilistic measure theory

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