Time consistency of multi-period distortion measures

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Author
Fasen, Vicky
Svejda, Adela
Date
2012-06
Type
  • Journal Article
Publication status
published
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Journal / series
Statistics & risk modelling
Volume
29(2)
Pages
133 - 153
Publisher
R. Oldenbourg Verlag
Organisational unit
03288 - Embrechts, Paul
Notes
Received 20 June 2011, Accepted 5 March 2012.
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