Coherent multiperiod risk adjusted values and Bellman’s principle View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2007-07

AUTHORS

Philippe Artzner, Freddy Delbaen, Jean-Marc Eber, David Heath, Hyejin Ku

ABSTRACT

Starting with a time-0 coherent risk measure defined for “value processes”, we also define risk measurement processes. Two other constructions of measurement processes are given in terms of sets of test probabilities. These latter constructions are identical and are related to the former construction when the sets fulfill a stability condition also met in multiperiod treatment of ambiguity as in decision-making. We finally deduce risk measurements for the final value of locked-in positions and repeat a warning concerning Tail-Value-at-Risk. More... »

PAGES

5-22

References to SciGraph publications

  • 2001-04. Coherent risk measures and good-deal bounds in FINANCE AND STOCHASTICS
  • 2002-10. Convex measures of risk and trading constraints in FINANCE AND STOCHASTICS
  • 1999-08. On dynamic measures of risk in FINANCE AND STOCHASTICS
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/s10479-006-0132-6

    DOI

    http://dx.doi.org/10.1007/s10479-006-0132-6

    DIMENSIONS

    https://app.dimensions.ai/details/publication/pub.1049475692


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