Time consistency and time consistent generalized convex multistage risk measures
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Publication:5382697
DOI10.1093/imaman/dpv005zbMath1433.91053OpenAlexW2047120911MaRDI QIDQ5382697
Zhiping Chen, Li Yang, Feng Zhang
Publication date: 18 June 2019
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpv005
multi-period risk measureconditional risk measuregeneralized convex risk measuretime consistency of optimal policytime consistency of risk measure
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