Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Year of publication: |
2012-10
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Authors: | Acciaio, Beatrice ; Föllmer, Hans ; Penner, Irina |
Institutions: | London School of Economics (LSE) |
Subject: | dynamic convex risk measures | cash flows | discounting ambiguity | model ambiguity | robust representation | time consistency | dynamic penalisation | asymptotic safety | bubbles | cash subadditivity |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Published in Finance and Stochastics, October, 2012, 16(4), pp. 669-709. ISSN: 0949-2984 |
Classification: | D81 - Criteria for Decision-Making under Risk and Uncertainty |
Source: |
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Acciaio, Beatrice, (2012)
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MONETARY VALUATION OF CASH FLOWS UNDER KNIGHTIAN UNCERTAINTY
FÖLLMER, HANS, (2011)
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Acciaio, Beatrice, (2012)
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