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文章基本信息

  • 标题:Rearrangement Invariant, Coherent Risk Measures on L0
  • 本地全文:下载
  • 作者:Christos E. Kountzakis , Dimitrios G. Konstantinides
  • 期刊名称:Journal of Financial Risk Management
  • 印刷版ISSN:2167-9533
  • 电子版ISSN:2167-9541
  • 出版年度:2015
  • 卷号:04
  • 期号:01
  • 页码:22-25
  • DOI:10.4236/jfrm.2015.41003
  • 语种:English
  • 出版社:Scientific Research Publishing
  • 摘要:By this paper, we give an answer to the problem of definition of coherent risk measures on rearrangement invariant, solid subspaces of L0 with respect to some atom less probability space . This problem was posed by F. Delbaen, while in this paper we proposed a solution via ideals of L0 and the class of the dominated variation distributions, as well.
  • 关键词:Rearrangement Invariance; Dominated Variation; Moment-Index
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