Time-inconsistency of VaR and time-consistent alternatives

P. Cheridito, M.A. Stadje

Research output: Contribution to journalArticleProfessional

29 Citations (Scopus)
Original languageEnglish
Pages (from-to)40-46
JournalFinance research letters
Volume6
Issue number1
Publication statusPublished - 2009
Externally publishedYes

Cite this

Cheridito, P., & Stadje, M. A. (2009). Time-inconsistency of VaR and time-consistent alternatives. Finance research letters, 6(1), 40-46.