Coherent multiperiod risk adjusted values and Bellman's principle
dc.contributor.author
Artzner, Philippe
dc.contributor.author
Delbaen, Freddy
dc.contributor.author
Eber, Jean-Marc
dc.contributor.author
Heath, David
dc.contributor.author
Ku, Hyejin
dc.date.accessioned
2017-06-10T17:45:30Z
dc.date.available
2017-06-10T17:45:30Z
dc.date.issued
2007
dc.identifier.issn
0254-5330
dc.identifier.issn
1572-9338
dc.identifier.other
10.1007/s10479-006-0132-6
dc.identifier.uri
http://hdl.handle.net/20.500.11850/67680
dc.language.iso
en
dc.publisher
Springer
dc.subject
Bellman's principle
dc.subject
Capital requirement
dc.subject
Coherence
dc.subject
Risk-adjusted values
dc.subject
Stability by pasting
dc.subject
Time consistency
dc.title
Coherent multiperiod risk adjusted values and Bellman's principle
dc.type
Journal Article
ethz.journal.title
Annals of Operations Research
ethz.journal.volume
152
ethz.journal.abbreviated
Ann. oper. res.
ethz.pages.start
5
ethz.pages.end
22
ethz.identifier.wos
ethz.identifier.nebis
000696001
ethz.publication.place
Dordrecht
ethz.publication.status
published
ethz.date.deposited
2017-06-10T17:45:55Z
ethz.source
ECIT
ethz.identifier.importid
imp593650aa7c82130585
ethz.ecitpid
pub:107636
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T20:24:11Z
ethz.rosetta.lastUpdated
2024-02-01T20:32:12Z
ethz.rosetta.versionExported
true
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Journal Article [129278]