Dynamic coherent acceptability indices and their applications to finance
Tomasz R. Bielecki, Igor Cialenco, and Zhao Zhang
| Year of publication: |
2014
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| Authors: | Bielecki, Tomasz R. ; Cialenco, Igor ; Zhang, Zhao |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 24.2014, 3, p. 411-441
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| Subject: | dynamic coherent acceptability index | dynamic measures of performance | dynamic coherent risk measures | dynamically consistent sequence of sets of probability measures | time consistency | dynamic GLR | dynamic RAROC | Messung | Measurement | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Dynamische Wirtschaftstheorie | Economic dynamics | Zeitkonsistenz | Time consistency |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010484294