Data di Pubblicazione:
2002
Citazione:
Putting order in risk measures / M. Frittelli, E. Rosazza Gianin. - In: JOURNAL OF BANKING & FINANCE. - ISSN 0378-4266. - 26:7(2002), pp. 1473-1486.
Abstract:
This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules.
Tipologia IRIS:
01 - Articolo su periodico
Keywords:
Coherent risk measures; Convex duality; Convex risk measures; Incomplete markets; Risk measures
Elenco autori:
M. Frittelli, E. Rosazza Gianin
Link alla scheda completa: