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Search: subject:"Dynamic Convex Risk Measures"
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Uncertainty
7
Dynamic Convex Risk Measures
6
Time-Consistency
6
Blackwell-Dubins
5
Dynamic convex risk measures
5
Multiple Priors
4
Robust Representation
4
dynamic convex risk measures
4
Entscheidung bei Unsicherheit
3
Theorie
3
Time consistency
3
robust representation
3
Average Value at Risk
2
Backward stochastic differential equations
2
Cash flows
2
Dynamic Penalty
2
Dynamic Variational Preferences
2
Entropic Risk
2
Erwartungsnutzen
2
Erwartungstheorie
2
Risikopräferenz
2
Robust representation
2
Zeitkonsistenz
2
asymptotic safety
2
bubbles
2
discounting ambiguity
2
model ambiguity
2
Asymptotic safety
1
Bubbles
1
Cash subadditivity
1
Consecutivity
1
Discounting ambiguity
1
Dynamic concave utilities
1
Dynamic penalisation
1
Finanzmathematik
1
Hedging
1
Incomplete market
1
Incomplete markets
1
Indifference pricing
1
Knightian uncertainty
1
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Free
9
Undetermined
5
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Book / Working Paper
8
Article
6
Other
1
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Working Paper
3
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1
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1
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English
8
Undetermined
7
Author
All
Engelage, Daniel
7
Bier, Monika
5
Föllmer, Hans
3
Penner, Irina
3
Acciaio, Beatrice
2
De Scheemaekere, Xavier
1
Delbaen, Freddy
1
FÖLLMER, HANS
1
Gianin, Emanuela Rosazza
1
PENNER, IRINA
1
Peng, Shige
1
Sircar, Kaushik Ronnie
1
Sturm, Stephan
1
Tutsch, Sina
1
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University of Bonn, Germany
2
Centre Emile Bernheim, Solvay Brussels School of Economics and Management
1
Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
London School of Economics (LSE)
1
Published in...
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Bonn Econ Discussion Papers
4
Finance and Stochastics
2
International Journal of Theoretical and Applied Finance (IJTAF)
1
LSE Research Online Documents on Economics
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Quantitative Finance
1
Statistics & Risk Modeling
1
Working Papers
1
Working Papers / Institut für Mathematische Wirtschaftsforschung, Universität Bielefeld
1
Working Papers CEB
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RePEc
9
EconStor
3
BASE
1
ECONIS (ZBW)
1
Other ZBW resources
1
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1
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Acciaio, Beatrice
;
Föllmer, Hans
;
Penner, Irina
-
London School of Economics (LSE)
-
2012
We study the risk assessment of uncertain cash flows in terms of
dynamic
convex
risk
measures
for processes as …
Persistent link: https://www.econbiz.de/10011071088
Saved in:
2
Merging of opinions under uncertainty
Bier, Monika
;
Engelage, Daniel
-
2010
We consider long-run behavior of agents assessing risk in terms of
dynamic
convex
risk
measures
or, equivalently …
Persistent link: https://www.econbiz.de/10009452571
Saved in:
3
Merging of Opinions under Uncertainty
Bier, Monika
;
Engelage, Daniel
-
2010
We consider long-run behavior of agents assessing risk in terms of
dynamic
convex
risk
measures
or, equivalently …
Persistent link: https://www.econbiz.de/10010270415
Saved in:
4
Merging of opinions under uncertainty
Bier, Monika
;
Engelage, Daniel
-
2010
We consider long-run behavior of agents assessing risk in terms of
dynamic
convex
risk
measures
or, equivalently …
Persistent link: https://www.econbiz.de/10010272543
Saved in:
5
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
De Scheemaekere, Xavier
-
Centre Emile Bernheim, Solvay Brussels School of …
-
2010
Persistent link: https://www.econbiz.de/10008492330
Saved in:
6
Merging of Opinions under Uncertainty
Bier, Monika
;
Engelage, Daniel
-
Institut für Mathematische Wirtschaftsforschung, …
-
2010
We consider long-run behavior of agents assessing risk in terms of
dynamic
convex
risk
measures
or, equivalently …
Persistent link: https://www.econbiz.de/10008494096
Saved in:
7
Merging of Opinions under Uncertainty
Bier, Monika
;
Engelage, Daniel
-
University of Bonn, Germany
-
2010
We consider long-run behavior of agents assessing risk in terms of
dynamic
convex
risk
measures
or, equivalently …
Persistent link: https://www.econbiz.de/10008464926
Saved in:
8
Optimal Stopping with Dynamic Variational Preferences
Engelage, Daniel
-
2009
variational preferences or, equivalently, assessing risk by
dynamic
convex
risk
measures
. The solution is achieved by generalizing …
Persistent link: https://www.econbiz.de/10010270015
Saved in:
9
Optimal Stopping with Dynamic Variational Preferences
Engelage, Daniel
-
University of Bonn, Germany
-
2009
variational preferences or, equivalently, assessing risk by
dynamic
convex
risk
measures
. The solution is achieved by generalizing …
Persistent link: https://www.econbiz.de/10004967156
Saved in:
10
From smile asymptotics to market risk measures
Sircar, Kaushik Ronnie
;
Sturm, Stephan
- In:
Mathematical finance : an international journal of …
25
(
2015
)
2
,
pp. 400-425
Persistent link: https://www.econbiz.de/10011350605
Saved in:
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