Dynamic risk measures: Time consistency and risk measures from BMO martingales

Jocelyne Bion-Nadal ()

Finance and Stochastics, 2008, vol. 12, issue 2, 219-244

Keywords: Dynamic risk measures; Conditional risk measures; Time consistency; BMO martingales; 91B30; 91B70; 60G44; 28A20; 46A20; D81; D52; C61 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (69)

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DOI: 10.1007/s00780-007-0057-1

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