Coherent Risk Measure on L0: NA Condition, Pricing and Dual Representation

By Emmanuel LEPINETTE, Duc Thinh VU

Published 2024-05-10

Everscope rating

1372

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Mathematical Analysis. Problem types: Risk Management, Pricing.

arXiv:2405.06764 · Paper rankings

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