搜索结果: 1-2 共查到“投资经济学 dynamic risk measures”相关记录2条 . 查询时间(0.312 秒)
Complete duality for quasiconvex dynamic risk measures on modules of the $L^{p}$-type
quasiconvex functions dual representation complete duality L0-modules dynamic risk measures quasiconvex risk measures
2012/3/2
We provide a dual representation of quasiconvex conditional risk measures $% \rho $ defined on $L^{0}$ modules of the $L^{p}$ type. This is a consequence of more general result which extend the usual ...
Set-Valued Dynamic Risk Measures
dynamic risk measures transaction costs set-valued risk measures time consistency dual representation
2012/3/2
The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are co...