The structure of m-stable sets and in particular of the set of risk neutral measures

Lecture Notes in Mathematics

Volumn 1874, Issue , 2006, Pages 215-258

  Delbaen, Freddy ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Arbitrage theory; Capacity theory; Capital requirement; Coherent risk measure; Coherent utility functions; Dynamic risk measures; Martingale measures; Multiple priors; Rectangularity; Risk neutral measures; Shortfall; Snell envelope; Submartingale method

Indexed keywords

EID: 33747892079     PISSN: 00758434     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-35513-7_17     Document Type: Article

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