On the worst conditional expectation

Journal of Mathematical Analysis and Applications

Volumn 286, Issue 1, 2003, Pages 237-247

  Inoue, Akihiko ^a  

^a HOKKAIDO UNIVERSITY   (Japan)

Author keywords

Coherent risk measure; Neyman Pearson lemma; Worst conditional expectation

Indexed keywords

EID: 0142056109     PISSN: 0022247X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-247X(03)00477-3     Document Type: Article

References (7)

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4. S. Kusuoka, On law invariant coherent risk measures, in: Advances in Mathematical Economics, Vol. 3, Springer-Verlag, Tokyo, 2001, pp. 83-95.
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