Risk Measures And Capital Requirements For Processes
Work
Year: 2006
Type: article
Abstract: In this paper we propose a generalization of the concepts of convex and coherent risk measures to a multiperiod setting, in which payoffs are spread over different dates. To this end, a careful examin... more
Source: Mathematical Finance
Authors Marco Frittelli, Giacomo Scandolo
Institution University of Florence
Cites: 22
Cited by: 194
Related to: 10
FWCI: 15.24
Citation percentile (by year/subfield): 99.99
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green