Matches in SemOpenAlex for { <https://semopenalex.org/work/W2029126790> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W2029126790 abstract "According to the properties of general probability space, we propose the conception of acceptance set and capital requirement in the discrete-time risk measures framework. Related propositions are put forward and proved in the second part. Then we mainly focus on the time consistency properties shown during the course of discrete-time risk measures. Time consistency has been certified as one of the most important properties for discrete-time risk measures. In particular, the poor, middle and strong consistency based on the original recursiveness and consistency are proposed in the third section. These time consistency properties provide the mathematical description of dynamic risk measures on the general probability space. Finally, the validation of time consistency of existing methods including VaR, CVaR and ES is provided." @default.
- W2029126790 created "2016-06-24" @default.
- W2029126790 creator A5027734084 @default.
- W2029126790 creator A5051050028 @default.
- W2029126790 creator A5054333545 @default.
- W2029126790 date "2006-01-01" @default.
- W2029126790 modified "2023-09-26" @default.
- W2029126790 title "Discrete-time Risk Measures with Time Consistency" @default.
- W2029126790 cites W1553648478 @default.
- W2029126790 cites W1558078758 @default.
- W2029126790 cites W1591570634 @default.
- W2029126790 cites W2057218189 @default.
- W2029126790 cites W2099418036 @default.
- W2029126790 cites W2135189312 @default.
- W2029126790 doi "https://doi.org/10.1109/icmse.2006.313855" @default.
- W2029126790 hasPublicationYear "2006" @default.
- W2029126790 type Work @default.
- W2029126790 sameAs 2029126790 @default.
- W2029126790 citedByCount "0" @default.
- W2029126790 crossrefType "proceedings-article" @default.
- W2029126790 hasAuthorship W2029126790A5027734084 @default.
- W2029126790 hasAuthorship W2029126790A5051050028 @default.
- W2029126790 hasAuthorship W2029126790A5054333545 @default.
- W2029126790 hasConcept C105795698 @default.
- W2029126790 hasConcept C11413529 @default.
- W2029126790 hasConcept C11534374 @default.
- W2029126790 hasConcept C120665830 @default.
- W2029126790 hasConcept C121332964 @default.
- W2029126790 hasConcept C154945302 @default.
- W2029126790 hasConcept C162118730 @default.
- W2029126790 hasConcept C162324750 @default.
- W2029126790 hasConcept C167548438 @default.
- W2029126790 hasConcept C177264268 @default.
- W2029126790 hasConcept C185429906 @default.
- W2029126790 hasConcept C187736073 @default.
- W2029126790 hasConcept C192209626 @default.
- W2029126790 hasConcept C199360897 @default.
- W2029126790 hasConcept C2776436953 @default.
- W2029126790 hasConcept C2779922397 @default.
- W2029126790 hasConcept C31388003 @default.
- W2029126790 hasConcept C32896092 @default.
- W2029126790 hasConcept C33923547 @default.
- W2029126790 hasConcept C37279795 @default.
- W2029126790 hasConcept C41008148 @default.
- W2029126790 hasConcept C5496284 @default.
- W2029126790 hasConcept C55439883 @default.
- W2029126790 hasConcept C55689738 @default.
- W2029126790 hasConceptScore W2029126790C105795698 @default.
- W2029126790 hasConceptScore W2029126790C11413529 @default.
- W2029126790 hasConceptScore W2029126790C11534374 @default.
- W2029126790 hasConceptScore W2029126790C120665830 @default.
- W2029126790 hasConceptScore W2029126790C121332964 @default.
- W2029126790 hasConceptScore W2029126790C154945302 @default.
- W2029126790 hasConceptScore W2029126790C162118730 @default.
- W2029126790 hasConceptScore W2029126790C162324750 @default.
- W2029126790 hasConceptScore W2029126790C167548438 @default.
- W2029126790 hasConceptScore W2029126790C177264268 @default.
- W2029126790 hasConceptScore W2029126790C185429906 @default.
- W2029126790 hasConceptScore W2029126790C187736073 @default.
- W2029126790 hasConceptScore W2029126790C192209626 @default.
- W2029126790 hasConceptScore W2029126790C199360897 @default.
- W2029126790 hasConceptScore W2029126790C2776436953 @default.
- W2029126790 hasConceptScore W2029126790C2779922397 @default.
- W2029126790 hasConceptScore W2029126790C31388003 @default.
- W2029126790 hasConceptScore W2029126790C32896092 @default.
- W2029126790 hasConceptScore W2029126790C33923547 @default.
- W2029126790 hasConceptScore W2029126790C37279795 @default.
- W2029126790 hasConceptScore W2029126790C41008148 @default.
- W2029126790 hasConceptScore W2029126790C5496284 @default.
- W2029126790 hasConceptScore W2029126790C55439883 @default.
- W2029126790 hasConceptScore W2029126790C55689738 @default.
- W2029126790 hasLocation W20291267901 @default.
- W2029126790 hasOpenAccess W2029126790 @default.
- W2029126790 hasPrimaryLocation W20291267901 @default.
- W2029126790 hasRelatedWork W2029126790 @default.
- W2029126790 hasRelatedWork W2049306185 @default.
- W2029126790 hasRelatedWork W2126629556 @default.
- W2029126790 hasRelatedWork W2128822791 @default.
- W2029126790 hasRelatedWork W2326320112 @default.
- W2029126790 hasRelatedWork W2353865532 @default.
- W2029126790 hasRelatedWork W2492353799 @default.
- W2029126790 hasRelatedWork W2949225755 @default.
- W2029126790 hasRelatedWork W2951576149 @default.
- W2029126790 hasRelatedWork W3125954797 @default.
- W2029126790 isParatext "false" @default.
- W2029126790 isRetracted "false" @default.
- W2029126790 magId "2029126790" @default.
- W2029126790 workType "article" @default.