ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL...

Stochastics and Dynamics 2011 / 09 Vol. 11; Iss. 2n3

ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS

FÖLLMER, HANS, KNISPEL, THOMAS
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Volume:
11
Language:
english
Journal:
Stochastics and Dynamics
DOI:
10.1142/S0219493711003334
Date:
September, 2011
File:
PDF, 226 KB
english, 2011
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