A supermartingale relation for multivariate risk measures
Zachary Feinstein and Birgit Rudloff
| Year of publication: |
2018
|
|---|---|
| Authors: | Feinstein, Zachary ; Rudloff, Birgit |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 12, p. 1971-1990
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| Subject: | Dynamic risk measures | Multivariate risks | Set-valued risk measures | Set-valued supermartingale | Time consistency | Transaction costs | Risiko | Risk | Theorie | Theory | Messung | Measurement | Risikomaß | Risk measure | Transaktionskosten | Portfolio-Management | Portfolio selection | Entscheidung unter Risiko | Decision under risk | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1459810 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262932