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Risk measures based on behavioural economics theory

Mao, TT; Cai, J

Cai, J (reprint author), Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada.

FINANCE AND STOCHASTICS, 2018; 22 (2): 367

Abstract

Coherent risk measures (Artzner et al. in Math. Finance 9:203-228, 1999) and convex risk measures (Follmer and Schied in Finance Stoch. 6:429-447, 200......

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