Maturity-independent risk measures

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dc.creatorZariphopoulou, Thaleia
dc.creatorZitkovic, Gordan
dc.date2007-10-20
dc.date2008-08-04
dc.date.accessioned2026-07-07T12:05:31Z
dc.date.available2026-07-07T12:05:31Z
dc.descriptionThe new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time financial models.
dc.identifierhttps://arxiv.org/abs/0710.3892
dc.identifierhttp://arxiv.org/abs/0710.3892
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208395
dc.subjectRisk Management
dc.subjectOptimization and Control
dc.subjectProbability
dc.titleMaturity-independent risk measures
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