Coherent and convex monetary risk measures for unbounded càdlàg processes

This paper studies coherent and convex monetary risk measures on the space of all c`adl`ag processes that are adapted to a given iteration. It shows that if such risk measures are required to be real-valued, then they can only depend on a stochastic process in a way that is uninteresting for many ap...

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Vydané v:	Finance and stochastics Ročník 9; číslo 3; s. 369 - 387
Hlavní autori:	Cheridito, Patrick, Delbaen, Freddy, Kupper, Michael
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Heidelberg Springer 01.07.2005 Springer Nature B.V
Predmet:	Capital market Coherence Econometric models Financial economics Finanzmathematik Insurance Mathematics Monetary policy Random variables Risiko Risk Stochastic models Stochastic processes Stochastischer Prozess Studies Theorie Utility functions Switzerland
ISSN:	0949-2984, 1432-1122
On-line prístup:	Získať plný text
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