Time-consistency of risk measures : how strong is such a property?
Year of publication: |
2019
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Authors: | Mastrogiacomo, Elisa ; Rosazza Gianin, Emanuela |
Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 1, p. 287-317
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Subject: | Dynamic risk measures | Time-consistency | Quasi-convex risk measures | Cash-subadditive risk measures | Cocycle property | m-stability | Theorie | Theory | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Zeitkonsistenz | Time consistency | Portfolio-Management | Portfolio selection |
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