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Dynamic Risk Measures · Study

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ChapterDynamic Risk Measures

Beatrice Acciaio2011

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Chaptergreen2011

Dynamic Risk Measures

Beatrice Acciaio · Irina Penner

127 citations·0/0 files stored·Springer eBooks

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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 1997Backward Stochastic Differential Equations in Finance 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time 2004Stochastic Finance 2002Putting order in risk measures 2006Coherent multiperiod risk adjusted values and Bellman’s principle 2004Dynamic coherent risk measures

Cited by

2014MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS 2012Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles 2017Risk-Averse Approximate Dynamic Programming with Quantile-Based Risk Measures 2021Problems and Features of Measurements 2018The robust pricing–hedging duality for American options in discrete time financial markets 2015Dynamic Conic Finance via Backward Stochastic Difference Equations

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2012Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubblesarticle · 19 shared references 2011COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIMEarticle · 16 shared references 2009CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITYarticle · 15 shared references 2009Robust Preferences and Robust Portfolio Choicechapter · 15 shared references 2011TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONSarticle · 15 shared references 2010Extending dynamic convex risk measures from discrete time to continuous time: A convergence approacharticle · 15 shared references

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Year2011

Typechapter

Published2011-01-01

VenueSpringer eBooks

Languageen

Citations127

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/978-3-642-18412-3_1

openalex_workW2096643160

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2022

Models and Measures in Theory and Practice of Manufacturing Processes

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