Representation of BSDE-based dynamic risk measures and dynamic capital allocations
Eduard Kromer and Ludger Overbeck
| Year of publication: |
2014
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|---|---|
| Authors: | Kromer, Eduard ; Overbeck, Ludger |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 5, p. 1-16
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| Subject: | Dynamic risk measure | dynamic risk capital allocation | backward stochastic differential equation | gradient allocation | Aumann-Shaley allocation | dynamic entropic risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß | Risk measure | Messung | Measurement | Allokation | Allocation | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Dynamische Wirtschaftstheorie | Economic dynamics |
| 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/10010437199