Convex risk measures: a selection of properties and its applications
type: Item
instance of: scholarly article
title: Convex risk measures: a selection of properties and its applications
zbMATH Open document ID: 1314.91214
author: Leonel Pérez Hernández
author: Erick Treviño Aguilar
published in: Boletín de la Sociedad Matemática Mexicana. Third Series
publication date: 2014-09-09T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6342002
zbMATH Keywords: American options
zbMATH Keywords: convex risk measures
zbMATH Keywords: Lévy processes
zbMATH Keywords: minimal penalty functions
zbMATH Keywords: time consistency
MaRDI profile type: MaRDI publication profile
Recommended article: Q5399433
Recommended article: Convex risk functionals: representation and applications
Recommended article: Q3550629
Recommended article: Convex risk measures and the dynamics of their penalty functions
Recommended article: On convex risk measures on \(L^{p}\)-spaces
Recommended article: Q3450743
Recommended article: Convex risk measures for portfolio optimization and concepts of flexibility
Recommended article: Q5024957
Recommended article: Conditional and dynamic convex risk measures
Recommended article: On a class of law invariant convex risk measures
description: scientific article; zbMATH DE number 6342002