Conditional and Dynamic Convex Risk Measures
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References listed on IDEAS
- Marco Frittelli & Giacomo Scandolo, 2006. "Risk Measures And Capital Requirements For Processes," Mathematical Finance, Wiley Blackwell, vol. 16(4), pages 589-612.
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KeywordsConditional convex risk measure; robust representation; regularity; entropic risk measure; dynamic convex risk measure; time consistency;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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