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Coherent multiperiod risk adjusted values and Bellman’s principle

Philippe Artzner, Freddy Delbaen, Jean‐Marc Eber, Hyejin Ku

2006-11-13articleAnnals of Operations Research409 citationsclosed

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Financial Risk and Volatility Modeling

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References

1999Coherent Measures of Risk

1989Maxmin expected utility with non-unique prior

2002Convex measures of risk and trading constraints

2003Recursive multiple-priors

2002Coherent Risk Measures on General Probability Spaces

2004Stochastic Finance

2004Dynamic coherent risk measures

2003Conditional preferences and updating

Cited by

2005Conditional and dynamic convex risk measures

2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes

2006Risk measures via -expectations

2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

2005Dynamic exponential utility indifference valuation

2006Convex risk measures and the dynamics of their penalty functions

2006RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

2007DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

Details

Year2006

Typearticle

VenueAnnals of Operations Research

Languageen

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Identifiers

doi10.1007/s10479-006-0132-6

openalex_workW2069326331

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