Time consistency of dynamic risk measures in markets with transaction costs
From MaRDI portal
Publication:5397475
DOI10.1080/14697688.2013.781668zbMath1281.91162arXiv1201.1483MaRDI QIDQ5397475
Birgit Rudloff, Zachary Feinstein
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.1483
28B20: Set-valued set functions and measures; integration of set-valued functions; measurable selections
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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