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Coherent and convex monetary risk measures for unbounded càdlàg processes

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Author Info
Patrick Cheridito ()
Freddy Delbaen ()
Michael Kupper ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-006-0017-1
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 10 (2006)
Issue (Month): 3 (September)
Pages: 427-448
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Handle: RePEc:spr:finsto:v:10:y:2006:i:3:p:427-448

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Related research
Keywords: Coherent risk measures; Convex monetary risk measures; Coherent utility functionals; Concave monetary utility functionals; Unbounded càdlàg processes; Extension of risk measures; 91B30; 91B16; 60G07; 52A07; 46A55; 46A20; D81; C60; G18;

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July. [Downloadable!] (restricted)
  2. Epstein, Larry G. & Schneider, Martin, 2003. "Recursive multiple-priors," Journal of Economic Theory, Elsevier, vol. 113(1), pages 1-31, November. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jocelyne Bion-Nadal, 2007. "Bid-Ask Dynamic Pricing in Financial Markets with Transaction Costs and Liquidity Risk," Quantitative Finance Papers math/0703074, arXiv.org. [Downloadable!]
  2. Pospisil, Libor & Vecer, Jan & Xu, Mingxin, 2007. "Tradable measure of risk," MPRA Paper 5059, University Library of Munich, Germany. [Downloadable!]
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