Relevant coherent measures of risk

DOI10.1016/j.jmateco.2006.03.006zbMath1142.91045OpenAlexW1975969223MaRDI QIDQ855375

Gheorghe Stoica

Publication date: 7 December 2006

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.03.006

zbMATH Keywords

latticerelevancevalue at riskcoherent measure of riskequivalent functionalshedging pricemartingale inno arbitrage propertyworst conditional expectation

Mathematics Subject Classification ID

Related Items (8)

Limit laws for martingales in vector lattices ⋮ Coherent risk measures in general economic models and price bubbles ⋮ Relevant mappings ⋮ Risk measures on ordered non-reflexive Banach spaces ⋮ Risk measures in ordered normed linear spaces with non-empty cone-interior ⋮ Law-invariant functionals that collapse to the mean ⋮ Induced actions of \(\mathfrak{B} \)-Volterra operators on regular bounded martingale spaces ⋮ Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices

Cites Work

• On the worst conditional expectation.
• Convex measures of risk and trading constraints
• Arbitrage approximation theory
• Coherent Measures of Risk
• Market completeness: A return to order
• On Two Function Spaces which are Similar to L 0
• Coherent risk measures and good-deal bounds
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