Time consistency of dynamic risk measures in markets with transaction costs
Work
Year: 2013
Type: article
Abstract: Set-valued dynamic risk measures are defined on with and with an image space in the power set of . Primal and dual representations of dynamic risk measures are deduced. Definitions of different time ... more
Source: Quantitative Finance
Authors Zachary Feinstein, Birgit Rudloff
Institution Princeton University
Cites: 42
Cited by: 40
Related to: 10
FWCI: 2.832
Citation percentile (by year/subfield): 96.69
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green