The structure of m-stable sets and in particular of the set of risk neutral measures

zbMATH Open1121.60043MaRDI QIDQ5294265FDOQ5294265

Publication date: 24 July 2007

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coherent risk measure time consistency arbitrage theory capital requirement dynamic risk measures Snell envelope martingale measures capacity theory shortfall coherent utility functions risk neutral measures

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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