Update rules for convex risk measures
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DOI: 10.1080/14697680802055960
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Cited by:
- 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.
- Berend Roorda & Johannes Schumacher, 2016.
"Weakly time consistent concave valuations and their dual representations,"
Finance and Stochastics,
Springer, vol. 20(1), pages 123-151, January.
- Berend Roorda & Johannes M. Schumacher, 2016. "Weakly time consistent concave valuations and their dual representations," Finance and Stochastics, Springer, vol. 20(1), pages 123-151, January.
- Roorda, B. & Schumacher, Hans, 2016. "Weakly time consistent concave valuations and their dual representations," Other publications TiSEM 132bdd0b-40dd-44bd-ab64-c, Tilburg University, School of Economics and Management.
- Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2014. "A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time," Papers 1409.7028, arXiv.org, revised Sep 2017.
- Föllmer Hans, 2014. "Spatial risk measures and their local specification: The locally law-invariant case," Statistics & Risk Modeling, De Gruyter, vol. 31(1), pages 1-23, March.
- repec:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0339-1 is not listed on IDEAS
- Beatrice Acciaio & Irina Penner, 2010. "Dynamic risk measures," Papers 1002.3794, arXiv.org.
- Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
- Roorda Berend & Schumacher Hans, 2013.
"Membership conditions for consistent families of monetary valuations,"
Statistics & Risk Modeling,
De Gruyter, vol. 30(3), pages 255-280, August.
- Roorda, B. & Schumacher, J.M., 2013. "Membership conditions for consistent families of monetary valuations," Other publications TiSEM 26b66f36-0dc9-4ccf-9b1b-0, Tilburg University, School of Economics and Management.
- Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
- Daniel Lacker, 2015. "Law invariant risk measures and information divergences," Papers 1510.07030, arXiv.org, revised Jun 2016.
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Keywords
Dynamic convex risk measures; Time consistency; Consecutivity; Robust shortfall risk measure; Updating;Statistics
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