A dynamic extension of the Foster-Hart measure of riskiness
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Publication:492879
DOI10.1016/j.jmateco.2015.05.005zbMath1320.91045OpenAlexW3121135087MaRDI QIDQ492879
Publication date: 21 August 2015
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2015.05.005
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Related Items (2)
Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances ⋮ A dynamic extension of the Foster-Hart measure of riskiness
Cites Work
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- A dynamic extension of the Foster-Hart measure of riskiness
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
- Stochastic finance. An introduction in discrete time
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