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Dynamic risk measures : time consistency and risk measures from BMO martingales
Bion-Nadal, Jocelyne - In: Finance and stochastics 12 (2008) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10003716264
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Multi-portfolio time consistency for set-valued convex and coherent risk measures
Feinstein, Zachary; Rudloff, Birgit - In: Finance and stochastics 19 (2015) 1, pp. 67-107
Persistent link: https://www.econbiz.de/10011417030
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Weakly time consistent concave valuations and their dual representations
Roorda, Berend; Schumacher, Johannes M. - In: Finance and stochastics 20 (2016) 1, pp. 123-151
Persistent link: https://www.econbiz.de/10011460026
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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Conditional and dynamic convex risk measures
Detlefsen, Kai; Scandolo, Giacomo - In: Finance and stochastics 9 (2005) 4, pp. 539-561
Persistent link: https://www.econbiz.de/10003133271
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Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
Delbaen, Freddy - In: Finance and stochastics 25 (2021) 3, pp. 597-614
Persistent link: https://www.econbiz.de/10012585990
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Dynamic mean-variance problem with frictions
Bensoussan, Alain; Ma, Guiyuan; Siu, Chi Chung; Yam, … - In: Finance and stochastics 26 (2022) 2, pp. 267-300
Persistent link: https://www.econbiz.de/10013197583
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A time-inconsistent Dynkin game : from intra-personal to inter-personal equilibria
Huang, Yu-Jui; Zhou, Zhou - In: Finance and stochastics 26 (2022) 2, pp. 301-334
Persistent link: https://www.econbiz.de/10013197586
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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708
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Minimax theorems for American options without time-consistency
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; … - In: Finance and stochastics 23 (2019) 1, pp. 209-238
Persistent link: https://www.econbiz.de/10012023712