Coherent and convex monetary risk measures for bounded cadlag processes

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Autor(in)
Cheridito, Patrick
Delbaen, Freddy
Kupper, Michael
Datum
2004-07
Typ
  • Journal Article
Publikationsstatus
published
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Zeitschrift / Serie
Stochastic Processes and their Applications
Band
112(1)
Seiten / Artikelnummer
1 - 22
Verlag
Elsevier
Thema
Coherent risk measures; Convex monetary risk measures; Coherent utility functionals; Concave monetary utility functionals; Cadlag processes; Representation theorem
Organisationseinheit
03440 - Delbaen, Freddy  
Anmerkungen
Received 8 April 2003, Revised 23 September 2003, Accepted 28 January 2004, Published online 21 February 2004.
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43 Zitate in Web of Science
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