Time-inconsistency of VaR and time-consistent alternatives

Finance Research Letters

Volumn 6, Issue 1, 2009, Pages 40-46

  Cheridito, Patrick ^a   Stadje, Mitja ^a  

^a PRINCETON UNIVERSITY   (United States)

Author keywords

Composed average Value at Risk; Composed Value at Risk; Time consistency; Value at Risk

Indexed keywords

EID: 60649094515     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2008.10.002     Document Type: Article

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