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On Dynamic Measures of Risk · Study

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PreprintOn Dynamic Measures of Risk

Jakša Cvitanić1998

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Preprintgreen1998

On Dynamic Measures of Risk

Jakša Cvitanić · Ioannis Karatzas

18 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1993Optimal Replication of Options with Transactions Costs and Trading Restrictions 1996Lectures on the Mathematics of Finance 1993Optimal Control of Favorable Games with a Time Limit 1997A Characterization of Measures of Risk 1997Adaptive control of a diffusion to a goal and a parabolic Monge–Ampère-type equation

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Details

Year1998

Typepreprint

Published1998-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.89489

openalex_workW2006250011

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