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VECTOR-VALUED COHERENT RISK MEASURE PROCESSES · Study

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ArticleVECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Imen Ben Tahar2013

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Articlegreen2013

VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Imen Ben Tahar · Emmanuel Lépinette

24 citations·0/0 files stored·International Journal of Theoretical and Applied Finance

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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 2002Coherent Risk Measures on General Probability Spaces 2006Coherent multiperiod risk adjusted values and Bellman’s principle 2004Dynamic coherent risk measures 2005Conditional and dynamic convex risk measures 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes 2006Risk measures via -expectations 2009Markets with Transaction Costs

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2015A Comparison of Techniques for Dynamic Multivariate Risk Measures

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Year2013

Typearticle

Published2013-01-01

VenueInternational Journal of Theoretical and Applied Finance

ISSN-L0219-0249

Languageen

Citations24

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1142/s0219024914500113

openalex_workW2006012272

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