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Author: | Frittelli, M. Rosazza Gianin, E. |
Title: | Putting order in risk measures |
Journal: | Journal of Banking and Finance
2002 : JUL, VOL. 26:7, p. 1473-1486 |
Index terms: | Risk measurement Price theory Incomplete markets Convex programming |
Language: | eng |
Abstract: | The paper introduces a set of axions that define convex risk measures. Duality theory provides the representation theorem for these measures and the link with pricing rules. |
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