Time Consistent Dynamic Risk Measures
نویسندگان
چکیده
منابع مشابه
Dynamic risk measuring: discrete time in a context of uncertainty, and continuous time on a probability space
We characterize time-consistent dynamic risk measures. In discrete time in context of uncertainty, we canonically associate a class of probability measures to any dynamic risk measure when the filtration comes from a process bounded at each time. Dynamic risk measures are conditional risk measures on a bigger space. In continuous time, we characterize time consistency, studying composition of c...
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ورودعنوان ژورنال:
- Math. Meth. of OR
دوره 63 شماره
صفحات -
تاریخ انتشار 2006