Dynamic risk measures: Time consistency and risk measures from BMO martingales
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Volume (Year): 12 (2008)
Issue (Month): 2 (April)
Pages: 219-244
| Handle: | RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244 |
| Contact details of provider: | Web page: http://www.springer.com
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| Order Information: | Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2 |
References listed on IDEAS
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- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- 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 36, July.
- S. Illeris & G. Akehurst, 2002. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 22(1), pages 1-3, January.
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