Distribution-invariant risk measures, information, and dynamic consistency

Mathematical Finance

Volumn 16, Issue 2, 2006, Pages 419-441

  Weber, Stefan ^a,b  

^a Department of Obstetrics Gynecology   (United States)

^b Cornell University   (United States)

Author keywords

Capital requirement; Distribution invariant risk measures; Dynamic consistency; Dynamic risk measure; Measure convexity; Measure of risk; Shortfall risk; Utility functions

Indexed keywords

EID: 33644989881     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00277.x     Document Type: Article

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