Minimizing coherent risk measures of shortfall in discrete-time models with cone constraints

Applied Mathematical Finance

Volumn 10, Issue 2, 2003, Pages 163-181

  Nakano, Yumiharu ^a  

^a HOKKAIDO UNIVERSITY   (Japan)

Author keywords

Coherent risk measure; Constrained strategy; Convex duality; Shortfall risk; Super hedging

Indexed keywords

EID: 0345491572     PISSN: 1350486X     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350486032000102924     Document Type: Article

References (23)

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