Dynamic risk measures: Time consistency and risk measures from BMO martingales
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Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 12 (2008)
Issue (Month): 2 (April)
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Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- 91B - - - - - -
- 91B - - - - - -
- 60G - - - - - -
- 28A - - - - - -
- 46A - - - - - -
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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Working Papers CEB
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- Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
- Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
- Mitja Stadje & Antoon Pelsser, 2011. "Time-Consistent and Market-Consistent Evaluations," Papers 1109.1749, arXiv.org, revised Dec 2013.
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