Convex measures of risk and trading constraints

• 1 October 2002
• journal article
• research article
• Published by Springer Nature in Finance and Stochastics
• Vol. 6  (4) , 429-447
• https://doi.org/10.1007/s007800200072

Abstract

Keywords

• KEY WORDS: RISK MEASURE
• CONVEX MEASURE OF RISK
• SHORTFALL
• TRADING CONSTRAINTS
• EFFICIENT HEDGING
• JEL CLASSIFICATION: G18
• G11
• C60
• C61
• MATHEMATICS SUBJECT CLASSIFICATION (2000): 46N10
• 91B16
• 91B28
• 91B30

All Related Versions

• Version 1, 2001-01-01, RePEc (Unconfirmed version)