Dynamic quasi-concave performance measures
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References listed on IDEAS
- Jocelyne Bion-Nadal, 2008. "Dynamic risk measures: Time consistency and risk measures from BMO martingales," Finance and Stochastics, Springer, vol. 12(2), pages 219-244, April.
- Johannes Leitner, 2008. "Optimal Portfolios With Lower Partial Moment Constraints And Lpm-Risk-Optimal Martingale Measures," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 317-331.
- Kai Detlefsen & Giacomo Scandolo, 2005. "Conditional and dynamic convex risk measures," Finance and Stochastics, Springer, vol. 9(4), pages 539-561, October.
- Alexander Cherny & Dilip Madan, 2009. "New Measures for Performance Evaluation," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2371-2406, July.
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