Satisfying convex risk limits by trading

Finance and Stochastics

Volumn 9, Issue 2, 2005, Pages 177-195

  Larsen, Kasper ^a   Pirvu, Traian A ^b   Shreve, Steven E ^b   Tütüncü, Reha ^b  

^a UNIVERSITY OF SOUTHERN DENMARK   (Denmark)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

Continuous trading; Convex risk measures; Portfolio representation

Indexed keywords

EID: 17444405300     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-004-0137-4     Document Type: Article

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