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A Comparison of Techniques for Dynamic Multivariate Risk Measures · Study

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ChapterA Comparison of Techniques for Dynamic Multivariate Risk Measures

Zachary Feinstein2015

Chapter2015

A Comparison of Techniques for Dynamic Multivariate Risk Measures

Zachary Feinstein · Birgit Rudloff

24 citations·0/0 files stored·Springer proceedings in mathematics & statistics

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Risk and Portfolio Optimization Stochastic processes and financial applications Probability and Risk Models

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References

1999Coherent Measures of Risk 2002Convex measures of risk and trading constraints 1995Martingales and Arbitrage in Securities Markets with Transaction Costs 2011Stochastic Finance 1992DERIVATIVE ASSET PRICING WITH TRANSACTION COSTS1 1992Option Replication in Discrete Time with Transaction Costs 2004Dynamic coherent risk measures 2005Conditional and dynamic convex risk measures

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Year2015

Typechapter

Published2015-01-01

VenueSpringer proceedings in mathematics & statistics

ISSN-L2194-1009

Languageen

Citations24

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-3-662-48670-2_1

openalex_workW1579021254

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