Journal
JOURNAL OF BANKING & FINANCE
Volume 26, Issue 7, Pages 1473-1486Publisher
ELSEVIER
DOI: 10.1016/S0378-4266(02)00270-4
Keywords
risk measures; coherent risk measures; convex risk measures; incomplete markets; convex duality
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This paper introduces a set of axioms that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules. (C) 2002 Published by Elsevier Science B.V.
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