Time-consistency of risk measures : how strong is such a property?
Elisa Mastrogiacomo, Emanuela Rosazza Gianin
| 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 | Risikomaß | Risk measure | Risiko | Risk | Messung | Measurement | Theorie | Theory | Zeitkonsistenz | Time consistency | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00233-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012065238