Financial Uncertainty, Risk Measures and Robust Preferences

Hans Föllmer ()
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Hans Föllmer: Humboldt Universität zu Berlin, Institut für Mathematik

A chapter in Aspects of Mathematical Finance, 2008, pp 3-13 from Springer

Abstract: The author introduces the main probabilistic concepts: martingales, martingale measures, risk measures … which have been used and developed during the last thirty years to describe and explain the behavior of financial markets.

Keywords: Risk Measure; Trading Strategy; Martingale Measure; Downside Risk; Hedging Strategy (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-75265-3_2

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DOI: 10.1007/978-3-540-75265-3_2

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