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MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g-EXPECTATION

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  • Yuhong Xu

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  • Yuhong Xu, 2016. "MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g-EXPECTATION," Mathematical Finance, Wiley Blackwell, vol. 26(3), pages 638-673, July.
  • Handle: RePEc:bla:mathfi:v:26:y:2016:i:3:p:638-673
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    File URL: http://hdl.handle.net/10.1111/mafi.2016.26.issue-3
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    Cited by:

    1. Paulwin Graewe & Ulrich Horst, 2016. "Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience," Papers 1611.03435, arXiv.org, revised Jul 2017.
    2. Lesedi Mabitsela & Calisto Guambe & Rodwell Kufakunesu, 2018. "A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations," Papers 1808.04611, arXiv.org.
    3. repec:eee:insuma:v:86:y:2019:i:c:p:43-50 is not listed on IDEAS
    4. repec:eee:stapro:v:127:y:2017:i:c:p:67-74 is not listed on IDEAS

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