DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

DOI10.1111/j.1467-9965.2006.00277.xzbMath1145.91037OpenAlexW2118940214MaRDI QIDQ5488981

Publication date: 25 September 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00277.x

zbMATH Keywords

utility functions dynamic risk measure capital requirement dynamic consistency shortfall risk measure of risk measure convexity distribution-invariant risk measures

Mathematics Subject Classification ID

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