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Coherent and convex monetary risk measures for unbounded càdlàg processes.

Patrick CheriditoFreddy DelbaenMichael Kupper
Published in: Finance Stochastics (2005)
Keyphrases
  • risk measures
  • description logics
  • short term
  • robust optimization
  • convex optimization
  • risk averse
  • long term
  • independent component analysis