Coherent and convex monetary risk measures for bounded càdlàg processes

Stochastic Processes and their Applications

Volumn 112, Issue 1, 2004, Pages 1-22

  Cheridito, Patrick ^a   Delbaen, Freddy ^b   Kupper, Michael ^b  

^a PRINCETON UNIVERSITY   (United States)

^b ETH ZURICH   (Switzerland)

Author keywords

C dl g processes; Coherent risk measures; Coherent utility functionals; Concave monetary utility functionals; Convex monetary risk measures; Representation theorem

Indexed keywords

EID: 2542494958     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.01.009     Document Type: Article

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