Coherent multiperiod risk adjusted values and Bellman’s principle-Reference-Cited by-同舟云学术

Coherent multiperiod risk adjusted values and Bellman’s principle

Published:2006-11-14 Issue:1 Volume:152 Page:5-22
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Artzner Philippe,Delbaen Freddy,Eber Jean-Marc,Heath David,Ku Hyejin

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

http://link.springer.com/content/pdf/10.1007/s10479-006-0132-6.pdf

Reference30 articles.

1. Artzner, P. (2002a). Conditional Value at Risk: Is it Good in the Multiperiod Case? IIR Conference on Volatility and Risk, London, Feb. 18–19.

2. Artzner, P. (2002b). Multiperiod Risk Measurement: Where are we? Quantitative Finance Seminar, Fields Institute, U. Toronto, Nov. 25, http://www.fields.utoronto.ca/audio/02-03/finance_seminar/artzner/.

3. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. (1997). “Thinking Coherently,” Risk, 10, 68–71.

4. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. (1999a). “Coherent Risk Measures.” Mathematical Finance, 9, 203–228.

5. Artzner, P., F. Delbaen, J.-M. Eber, and D. Heath. (1999b). Risk Management and Capital Allocation with Coherent Measures of Risk. http://symposium.wiwi.uni-karlsruhe.de/8thpapers/artzner.ps.

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