Convex Imprecise Previsions for Risk Measurement
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References listed on IDEAS
- Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Giannopoulos, Kostas & Tunaru, Radu, 2005. "Coherent risk measures under filtered historical simulation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 979-996, April.
- Nendel, Max, 2019. "On Nonlinear Expectations and Markov Chains under Model Uncertainty," Center for Mathematical Economics Working Papers 628, Center for Mathematical Economics, Bielefeld University.
More about this item
Keywordsimprecise previsions; risk measures; weakly convex imprecise previsions; convex imprecise previsions;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2003-10-05 (Risk Management)
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