Dynamic monetary risk measures for bounded discrete-time processes

Electronic Journal of Probability

Volumn 11, Issue , 2006, Pages 57-106

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

^a PRINCETON UNIVERSITY   (United States)

^b ETH ZURICH   (Switzerland)

Author keywords

Concatenation of adapted increasing processes of integrable variation; Conditional dual representations; Conditional monetary risk measures; Conditional monetary utility functions; Decomposition property of acceptance sets; Dynamic monetary risk measures; Dynamic monetary utility functions; Time consistency

Indexed keywords

EID: 31544480340     PISSN: None     EISSN: 10836489     Source Type: Journal    
DOI: 10.1214/EJP.v11-302     Document Type: Article

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