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Volumn 40, Issue 2, 2007, Pages 209-230

Time consistency conditions for acceptability measures, with an application to Tail Value at Risk

Author keywords

Acceptability measures; Capital requirements; Coherent risk measures; Incomplete markets; Nonlinear expectations; Time consistency

Indexed keywords


EID: 33845887244     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.04.003     Document Type: Article
Times cited : (52)

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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.