Dynamic monetary risk measures for bounded discrete-time processes
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Publication:850394
DOI10.1214/EJP.v11-302zbMath1184.91109arXivmath/0410453OpenAlexW2136862484MaRDI QIDQ850394
Michael Kupper, Patrick Cheridito, Freddy Delbaen
Publication date: 3 November 2006
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0410453
Time-consistencyConcatenation of adapted increasing processes of integrable variationConditional dual representationsConditional monetary risk measuresConditional monetary utility functionsDecomposition property of acceptance setsDynamic monetary risk measuresDynamic monetary utility functions
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