On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Year of publication: |
2020
|
---|---|
Authors: | Backhoff-Veraguas, Julio ; Tangpi, Ludovic |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 3, p. 433-460
|
Subject: | Time-inconsistency | Risk measures | Optimized certainty equivalent | HJB equation | Viscosity solution | Unbounded stochastic control | Dynamic programming principle | Singular Hamiltonian | Stochastischer Prozess | Stochastic process | Risiko | Risk | Risikomaß | Risk measure | Zeitkonsistenz | Time consistency | Dynamische Optimierung | Dynamic programming | Messung | Measurement | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection |
-
Optimal dividends for a two-dimensional risk model with simultaneous ruin of both branches
Strietzel, Philipp Lukas, (2022)
-
Rectangular sets of probability measures
Shapiro, Alexander, (2016)
-
Building up time-consistency for risk measures and dynamic optimizatio
De Lara, Michel, (2016)
- More ...
-
Robust contracting in general contract spaces
Backhoff-Veraguas, Julio, (2020)
-
Robust contracting in general contract spaces
Backhoff-Veraguas, Julio, (2020)
-
Computational aspects of robust optimized certainty equivalents and option pricing
Bartl, Daniel, (2019)
- More ...