Showing 1 - 10 of 32
Set-valued dynamic risk measures are defined on <inline-formula id="ILM0001"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_781668_o_ilm0001.gif"/> </inline-formula> with <inline-formula id="ILM0002"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_781668_o_ilm0002.gif"/> </inline-formula> and with an image space in the power set of <inline-formula id="ILM0003"> <inline-graphic xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="rquf_a_781668_o_ilm0003.gif"/> </inline-formula>. Primal and dual representations of dynamic risk measures are deduced. Definitions of different time consistency properties in the set-valued framework are given. It is shown that the...
Persistent link: https://www.econbiz.de/10010976180
<Para ID="Par1">Equivalent characterizations of multi-portfolio time consistency are deduced for closed convex and coherent set-valued risk measures on <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$L^{p}({\varOmega,\mathcal{F},\mathbb{P}; \mathbb{R}^{d}})$</EquationSource> </InlineEquation> with image space in the power set of <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$L^{p}({\varOmega,\mathcal{F}_{t},\mathbb{P};...</equationsource></inlineequation></equationsource></inlineequation></para>
Persistent link: https://www.econbiz.de/10011151670
Persistent link: https://www.econbiz.de/10012262932
Persistent link: https://www.econbiz.de/10011417030
Persistent link: https://www.econbiz.de/10013364926
Persistent link: https://www.econbiz.de/10013365032
Persistent link: https://www.econbiz.de/10011687611
Persistent link: https://www.econbiz.de/10012153704
In this paper we consider continuity of the set of Nash equilibria and approximate Nash equilibria for parameterized games. For parameterized games with unique Nash equilibria, the continuity of this equilibrium mapping is well-known. However, when the equilibria need not be unique, there may...
Persistent link: https://www.econbiz.de/10013431166
In incomplete financial markets not every contingent claim can be replicated by a self-financing strategy. The risk of the resulting shortfall can be measured by convex risk measures, recently introduced by Follmer and Schied (2002). The dynamic optimization problem of finding a self-financing...
Persistent link: https://www.econbiz.de/10005462495