Vector-valued coherent risk measure processes

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Date
2014Dewey
Probabilités et mathématiques appliquéesSujet
Vector-valued risk measure; coherent risk measure; dynamic risk measure; dual representation; transaction costs; partial orderJEL code
G.G1.G13; G.G1.G11Journal issue
International Journal of Theoretical and Applied FinanceVolume
17Number
2Publication date
04-2014Publisher
World ScientificCollections
Metadata
Show full item recordAuthor
Ben Tahar, Imen
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]