Pricing with coherent risk

Theory of Probability and its Applications

Volumn 52, Issue 3, 2008, Pages 389-415

  Cherny, A S ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Capital allocation; Coherent risk measure; Extreme measure; Generator; No good deals; RAROC; Risk contribution; Risk neutral measure; Support function; Tail V@R; Transaction costs; Weighted V@R

Indexed keywords

EID: 55449135924     PISSN: 0040585X     EISSN: 10957219     Source Type: Journal    
DOI: 10.1137/S0040585X97983158     Document Type: Article

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