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~isPartOf:"Center for Mathematical Economics Working Papers"
~person:"Riedel, Frank"
~subject:"Insolvency"
~subject:"Time-Consistency"
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A Dynamic Extension of the Foster-Hart Measure of Riskiness
Hellmann, Tobias
;
Riedel, Frank
-
2014
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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