Dynamic risk measures: Time consistency and risk measures from BMO martingales
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References listed on IDEAS
- Föllmer Hans & Penner Irina, 2006. "Convex risk measures and the dynamics of their penalty functions," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-36, July.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- S. Illeris & G. Akehurst, 2002. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 22(1), pages 1-3, January.
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KeywordsDynamic risk measures; Conditional risk measures; Time consistency; BMO martingales; 91B30; 91B70; 60G44; 28A20; 46A20; D81; D52; C61;
- 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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