Weakly time consistent concave valuations and their dual representations
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Publication:261920
DOI10.1007/s00780-015-0285-8zbMath1339.91064OpenAlexW2180703783WikidataQ59480816 ScholiaQ59480816MaRDI QIDQ261920
Johannes M. Schumacher, Berend Roorda
Publication date: 29 March 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-015-0285-8
dualityrisk aversionconcave valuationconditional consistencyconsistent risk aversionconvex risk measuresequential consistencyweak time consistency
Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory for topological vector spaces (46A20) Actuarial science and mathematical finance (91G99)
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