Nonlinear expectations of random sets
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DOI: 10.1007/s00780-020-00442-3
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More about this item
Keywords
Multiasset portfolio; Random set; Selection expectation; Sublinear expectation; Superlinear expectation; Set-valued function; Transaction costs; Utility;All these keywords.
JEL classification:
- C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
- C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
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