Dynamic Risk Measures

DOI10.1007/978-3-642-18412-3_1zbMath1230.91065arXiv1002.3794OpenAlexW2096643160MaRDI QIDQ5198554

Irina Penner, Beatrice Acciaio

Publication date: 8 August 2011

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

Full work available at URL: https://arxiv.org/abs/1002.3794

zbMATH Keywords

penalty functiontime consistencyrobust representationentropic risk measuredynamic convex risk measure

Mathematics Subject Classification ID

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