scientific article; zbMATH DE number 5257517

MaRDI QIDQ5454033zbMATH OpenFDO

Authors Shigeo Kusuoka, Yuji Morimoto

Publication date 3 April 2008

Mathematics Subject Classification ID

Probability measures on topological spaces (60B05)

Cited in

(4)

• Tail VaR measures in a multi-period setting
• Almost-Invariant and Finite-Time Coherent Sets: Directionality, Duration, and Diffusion
• Continuous-time limits of multi-period cost-of-capital margins
• On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation

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