scientific article; zbMATH DE number 7036240

zbMath1419.91371arXiv1703.03638MaRDI QIDQ4628624

Abdelkarem Berkaoui, Seb Armstrong, S. D. Jacka

Publication date: 14 March 2019

Full work available at URL: https://arxiv.org/abs/1703.03638

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

hedgingrepresentationcoherent risk measuresFatou propertytime-consistencyaverage value at riskreservingpricing mechanismm-stability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (1)

On representations of the set of supermartingale measures and applications in discrete time

Cites Work

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• Dynamic coherent risk measures
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• Stochastic Finance
• Optimal portfolios with Haezendonck risk measures
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS

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