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  • Search: subject:"Multi-portfolio time consistency"
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Year of publication
Subject
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Dynamic risk measures 3 Multi-portfolio time consistency 3 Set-valued risk measures 3 Time consistency 3 Decision under risk 2 Entscheidung unter Risiko 2 Measurement 2 Messung 2 Portfolio selection 2 Portfolio-Management 2 Risiko 2 Risikomaß 2 Risk 2 Risk measure 2 Stability 2 Theorie 2 Theory 2 Transaction costs 2 Zeitkonsistenz 2 Bounded discrete-time processes 1 Economy of time 1 Stochastic process 1 Stochastischer Prozess 1 Transaktionskosten 1 Zeitökonomie 1
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Undetermined 3
Type of publication
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Feinstein, Zachary 2 Rudloff, Birgit 2 Chen, Yanhong 1 Hu, Yijun 1
Published in...
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Finance and Stochastics 1 Finance and stochastics 1 Mathematics and financial economics 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Time consistency for set-valued dynamic risk measures for bounded discrete-time processes
Chen, Yanhong; Hu, Yijun - In: Mathematics and financial economics 12 (2018) 3, pp. 305-333
Persistent link: https://www.econbiz.de/10011963856
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and Stochastics 19 (2015) 1, pp. 67-107
<Para ID="Par1">Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and … the convex case, multi-portfolio time consistency is equivalent to a cocycle condition on the sum of minimal penalty … functions. In the coherent case, multi-portfolio time consistency is equivalent to a generalized version of stability of the …
Persistent link: https://www.econbiz.de/10011151670
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Cover Image
Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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