Time consistency of dynamic cash subadditive risk measures for portfolios

zbMATH Open1449.91126MaRDI QIDQ5115310FDOQ5115310

Authors: Caibo Xiao, Hongwei Liu 

Publication date: 12 August 2020

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zbMATH Keywords

representation theoremportfoliostime consistencydynamic risk measurescash subadditivity

Mathematics Subject Classification ID

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

Cited In (1)

• SET-VALUED CASH SUB-ADDITIVE RISK MEASURES

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