Nicolas Vogelpoth

Vienna Institute of Finance

Nordbergstrasse 15

Vienna, 1090

Austria

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Approaches to Conditional Risk

Swiss Finance Institute Research Paper No. 11-02
Number of pages: 36 Posted: 01 Feb 2011 Last Revised: 16 Feb 2012
Damir Filipović, Michael Kupper and Nicolas Vogelpoth
Ecole Polytechnique Fédérale de Lausanne, Humboldt University of Berlin - Department of Mathematics and Vienna Institute of Finance
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Abstract:

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Conditional risk measures, L0-modules, Lp type modules, Monotone hulls, Subcash invariant hulls, Cash invariant hulls