Coherent and convex monetary risk measures for unbounded càdlàg processes

• 1 July 2005
• journal article
• Published by Springer Nature in Finance and Stochastics
• Vol. 9  (3) , 369-387
• https://doi.org/10.1007/s00780-004-0150-7

Abstract

Keywords

• COHERENT RISK MEASURES
• CONVEX MONETARY RISK MEASURES
• COHERENT UTILITY FUNCTIONALS
• CONCAVE MONETARY UTILITY FUNCTIONALS
• UNBOUNDED CDLG PROCESSES
• EXTENSION OF RISK MEASURES