A Dynamic Extension of the Foster-Hart Measure of Riskiness

We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.

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Year of publication:	2014
Authors:	Hellmann, Tobias ; Riedel, Frank
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	Dynamic Risk Measures \| Time-Consistency \| Bankruptcy \| Continuous Random Variable

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Series:	Center for Mathematical Economics Working Papers ; 528
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.2501645 [DOI] 79814016X [GVK] hdl:10419/103918 [Handle] RePEc:bie:wpaper:528 [RePEc]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	EconStor

Persistent link: https://www.econbiz.de/10010427177