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有關 On dynamic measures of risk. 的學術文章 | |
On dynamic measures of risk - Cvitanić - 298 個引述 Dynamic coherent risk measures - Riedel - 579 個引述 Time consistent dynamic risk measures - Boda - 301 個引述 | |
On Dynamic Measures of Risk
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由 J Cvitanic 著作被引用 298 次 — We study dynamic measures for the risk asscociated with a given liability C: a random variable representing the payoff that has to be delivered at a future ...
(PDF) On Dynamic Measures of Risk
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2024年10月22日 — Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank portfolio. Dynamic consistency and weaker ...
On dynamic measures of risk | Finance and Stochastics
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由 J Cvitanić 著作1999被引用 298 次 — We study dynamic measures of the form for the risk associated with hedging a given liability C at time t = T.
On Dynamic Measures of Risk
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由 J Cvitanic 著作被引用 298 次 — We study dynamic measures for the risk associated with hedging a given liability C at time t=T. This measure is defined as the maximum, over different ...
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Cvitani, J. and Karatzas, L. (1999) On Dynamic Measures of Risk ...
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ABSTRACT: In this paper, by taking into account the rating in a new concept of economic space, we propose a model of the dynamics of an economic particle, a ...
Dynamic risk measure
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A dynamic risk measure is a risk measure that deals with the question of how evaluations of risk at different times are related. It can be interpreted as a ...
On dynamic measures of risk
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This paper discusses, in addition to the above “max-min” approach, a related measure of risk in a “Bayesian” framework that was introduced by Artzner, ...
Cvitanic, J. and Karatzas, I. (1999) On Dynamic Measures of Risk ...
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ABSTRACT: This paper deals with asset allocation decisions when the considered risk measure is directly related to the investor's level of risk aversion. It is ...
Citations of On dynamic measures of risk
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Riedel, Frank, 2004. "Dynamic coherent risk measures," Stochastic Processes and their Applications, Elsevier, vol. 112(2), pages 185-200, August. Frank Riedel ...
Dynamic coherent risk measures
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由 F Riedel 著作2004被引用 580 次 — A dynamic risk measure (ρt) is relevant if every loss which is not excluded by the given history carries positive risk: for all t, all histories ξ t ∈ H t , all ...
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