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ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY · Study

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ArticleASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

Jun Cai2015

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Articlegreen2015

ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY

Jun Cai · Haiyan Liu · Ruodu Wang

24 citations·0/0 files stored·Mathematical Finance

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1999Coherent Measures of Risk 1987The Dual Theory of Choice under Risk 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2002Convex measures of risk and trading constraints 2002Stochastic Finance: An Introduction in Discrete Time 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2002Putting order in risk measures

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Year2015

Typearticle

Published2015-01-01

VenueMathematical Finance

ISSN-L0960-1627

Languageen

Citations24

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1111/mafi.12140

openalex_workW3122632845

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