Tail VaR measures in a multi-period setting

Yuta Katsuki & Koichi Matsumoto

Year of publication:	2014
Authors:	Katsuki, Yuta ; Matsumoto, Koichi
Published in:	Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 21.2014, 3/4, p. 270-297
Subject:	Tail Value at Risk \| coherent risk measure \| time consistency \| Risikomaß \| Risk measure \| Theorie \| Theory \| Messung \| Measurement \| Portfolio-Management \| Portfolio selection \| Zeitkonsistenz \| Time consistency \| Statistische Verteilung \| Statistical distribution \| Risiko \| Risk

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