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Matches in SemOpenAlex for { <https://semopenalex.org/work/W2006012272> ?p ?o ?g. }

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• W2006012272 abstract "Introduced by Artzner et al. (1998) the axiomatic characterization of a static coherent risk measure was extended by Jouini et al. (2004) in a multi-dimensional setting to the concept of vector-valued risk measures. In this paper, we propose a dynamic version of the vector-valued risk measures in a continuous-time framework. Particular attention is devoted to the choice of a convenient risk space. We provide dual characterization results, we study different notions of time consistency and we give examples of vector-valued risk measure processes." @default.
• W2006012272 created "2016-06-24" @default.
• W2006012272 creator A5041761461 @default.
• W2006012272 creator A5074862770 @default.
• W2006012272 date "2014-03-01" @default.
• W2006012272 modified "2023-10-03" @default.
• W2006012272 title "VECTOR-VALUED COHERENT RISK MEASURE PROCESSES" @default.
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• W2006012272 doi "https://doi.org/10.1142/s0219024914500113" @default.
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