The structure of m-stable sets and in particular of the set of risk neutral measures
Publication status
publishedBook title
In memoriam Paul-André Meyer : Séminaire de Probabilités XXXIXJournal / series
Lecture Notes in MathematicsVolume
Pages / Article No.
Publisher
SpringerSubject
Arbitrage theory; Capital requirement; Coherent risk measure; Coherent utility functions; Capacity theory; Dynamic risk measures; Martingale measures; Multiple priors; Rectangularity; Risk neutral measures; Snell envelope; Shortfall; Submartingale method; Time consistency; Risk neutral measuresOrganisational unit
03440 - Delbaen, Freddy
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