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  • Search: subject:"robust representation"
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Year of publication
Subject
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robust representation 11 Theorie 6 Blackwell-Dubins 5 Robust representation 5 Uncertainty 5 Dynamic Convex Risk Measures 4 Multiple Priors 4 Risiko 4 Robust Representation 4 Time-Consistency 4 entropic risk measure 4 time-consistency 4 Conditional convex risk measure 3 Messung 3 Zeitkonsistenz 3 dynamic convex risk measure 3 dynamic convex risk measures 3 time consistency 3 Cash flows 2 Dynamic convex risk measures 2 Entscheidung bei Unsicherheit 2 Erwartungsnutzen 2 Erwartungstheorie 2 Risikomanagement 2 Risikopräferenz 2 Risk 2 Risk management 2 Robustes Verfahren 2 Theory 2 Time consistency 2 [phi]- and [alpha]-mixing sequences of random variables 2 asymptotic safety 2 bubbles 2 coherent risk measure 2 construction by generators 2 discounting ambiguity 2 distortion risk measure 2 local test probabilities 2 model ambiguity 2 nonuniform Berry-Esseen inequality 2
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Online availability
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Free 12 Undetermined 9
Type of publication
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Book / Working Paper 11 Article 9 Other 1
Type of publication (narrower categories)
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Working Paper 4 Article in journal 2 Aufsatz in Zeitschrift 2 research-article 1
Language
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English 12 Undetermined 9
Author
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Bier, Monika 5 Engelage, Daniel 5 Krätschmer, Volker 4 Detlefsen, Kai 3 Föllmer, Hans 3 Penner, Irina 3 Scandolo, Giacomo 3 Zähle, Henryk 3 Acciaio, Beatrice 2 Kupper, Michael 2 Angelsberg, Gilles 1 Delbaen, Freddy 1 EISELE, KARL-THEODOR 1 Eisele, Karl-Theodor 1 FÖLLMER, HANS 1 Jokhadze, Valeriane 1 KUPPER, MICHAEL 1 Kaelin, Ivo 1 Kong, Dezhou 1 Liu, Lishan 1 Näf, Joachim 1 PENNER, IRINA 1 Schmidt, Wolfgang M. 1 Wu, Yonghong 1
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Institution
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 Laboratoire de Recherche en Gestion (LaRGE), Institut de Finance de Strasbourg 1 London School of Economics (LSE) 1 University of Bonn, Germany 1
Published in...
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Finance and Stochastics 3 SFB 649 Discussion Papers 3 Bonn Econ Discussion Papers 2 SFB 649 Discussion Paper 2 Statistics & Risk Modeling 2 Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of theoretical and applied finance 1 LSE Research Online Documents on Economics 1 Working Papers 1 Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld 1 Working Papers of LaRGE Research Center 1
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Source
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RePEc 12 EconStor 4 ECONIS (ZBW) 2 Other ZBW resources 2 BASE 1
Showing 21 - 21 of 21
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Conditional and dynamic convex risk measures
Detlefsen, Kai; Scandolo, Giacomo - In: Finance and Stochastics 9 (2005) 4, pp. 539-561
We extend the definition of a convex risk measure to a conditional framework where additional information is available. We characterize these risk measures through the associated acceptance sets and prove a representation result in terms of conditional expectations. A suitable regularity...
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