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Abstract
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.
Volume
26
Page
1473-1486
Number
7
Year
2002
Keywords
risk measures; Coherent risk measures; Convex risk measures; incomplete markets; Convex duality
Categories
New Risk Measures
Publications
Journal of Banking & Finance
