Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
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Recommendations
- Set-valued dynamic risk measures for bounded discrete-time processes
- Time consistency of dynamic risk measures
- A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
- Time consistency and time consistent generalized convex multistage risk measures
- Time consistent dynamic risk processes
- Time consistency for scalar multivariate risk measures
- Time consistency of the mean-risk problem
- Time consistent dynamic risk measures
- Set-valued dynamic risk measures for processes and for vectors
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Cites work
- A comparison of techniques for dynamic multivariate risk measures
- A duality theory for set-valued functions. I: Fenchel conjugation theory
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
- Coherent and convex monetary risk measures for bounded càdlàg processes
- Coherent and convex monetary risk measures for unbounded càdlàg processes.
- Coherent measures of risk
- Coherent multiperiod risk adjusted values and Bellman's principle
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Conditional and dynamic convex risk measures
- Conditional Risk Mappings
- Continuity and finite-valuedness of set-valued risk measures
- Convex measures of risk and trading constraints
- Duality for set-valued measures of risk
- Dynamic coherent risk measures
- DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
- Dynamic monetary risk measures for bounded discrete-time processes
- Hedging and liquidation under transaction costs in currency markets
- LINEAR DIFFERENTIAL GAMES OF PURSUIT
- Markets with transaction costs. Mathematical theory.
- Measuring risk with multiple eligible assets
- Minkowskische Addition und Subtraktion beliebiger Punktmengen und die Theoreme von Erhard Schmidt
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Multivariate risk measures: a constructive approach based on selections
- Representations of set-valued risk measures defined on the l-tensor product of Banach lattices
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk measures for processes and BSDEs
- Set-valued average value at risk and its computation
- Set-valued risk measures for conical market models
- The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
- Time consistency of dynamic risk measures in markets with transaction costs
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Vector Optimization with Infimum and Supremum
- Vector-valued coherent risk measure processes
- Vector-valued coherent risk measures
Cited in
(24)- Time consistent dynamic risk processes
- Set-valued risk measures as backward stochastic difference inclusions and equations
- Time consistency of multi-period distortion measures
- Time consistency for scalar multivariate risk measures
- Set-valued dynamic risk measures for processes and for vectors
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Capital allocation with multivariate convex risk measures
- Composition of time-consistent dynamic monetary risk measures in discrete time
- Set-valued dynamic risk measures for bounded discrete-time processes
- Dynamic convex risk measures: time consistency, prudence, and sustainability.
- A supermartingale relation for multivariate risk measures
- Multi-portfolio time consistency for set-valued convex and coherent risk measures
- Conditional systemic risk measures
- Scalar multivariate risk measures with a single eligible asset
- A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
- Set-valued law invariant coherent and convex risk measures
- Time consistency of dynamic risk measures in markets with transaction costs
- Are time consistent valuations information monotone?
- Systemic risk statistics with scenario analysis
- Multivariate dynamic cash sub-additive risk measures for processes
- Collective dynamic risk measures
- Set-valued star-shaped risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
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