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Coherent and convex monetary risk measures for unbounded càdlàg processes.

Patrick CheriditoFreddy DelbaenMichael Kupper
Published in: Finance Stochastics (2006)
Keyphrases
  • risk measures
  • description logics
  • evolutionary algorithm
  • risk averse
  • convex optimization
  • reinforcement learning
  • principal component analysis
  • multistage
  • short term
  • robust optimization