Set-valued average value at risk and its computation

Mathematics and Financial Economics

Volumn 7, Issue 2, 2013, Pages 229-246

  Hamel, Andreas H ^a   Rudloff, Birgit ^b   Yankova, Mihaela ^c  

^a YESHIVA UNIVERSITY   (United States)

^b PRINCETON UNIVERSITY   (United States)

^c Federal Service for Surveillance on Consumer Rights Protection and Human Well Being   (United States)

Author keywords

Average value at risk; Benson's algorithm; Coherent risk measures; Set valued risk measures; Transaction costs

Indexed keywords

EID: 84876154066     PISSN: 18629679     EISSN: 18629660     Source Type: Journal    
DOI: 10.1007/s11579-013-0094-9     Document Type: Article

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