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searching for Coherent risk measure 3 found (25 total)

alternate case: coherent risk measure

Maslowian portfolio theory (852 words) [view diff] exact match in snippet view article find links to article

However in later work the author emphasized the importance of using a coherent risk measure . The problem with Roy's safety-first criterion is that it is equivalent
Masaaki Kijima (469 words) [view diff] exact match in snippet view article find links to article
pages: 97–108, 1998 On the significance of expected shortfall as a coherent risk measure, Masaaki Kijima and Koji Inui, Journal of Banking and Finance, Vol
Time consistency (finance) (1,083 words) [view diff] exact match in snippet view article
aversion parameter is constant. In continuous time, a time consistent coherent risk measure can be given by: ρ g ( X ) := E g [ − X ] {\displaystyle \rho _{g}(X):=\mathbb