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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
main aim is to minimize this shortfall risk by making use of results from bsde theory. …
Persistent link: https://www.econbiz.de/10011545021
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Multidimensional dynamic risk measure via conditional g-expectation
Xu, Yuhong - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 638-673
Persistent link: https://www.econbiz.de/10011583787
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Multi-dimensional uncertain differential equation: existence and uniqueness of solution
Ji, Xiaoyu; Zhou, Jian - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 4, pp. 477-491
Persistent link: https://www.econbiz.de/10011538508
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A generalized stochastic differential utility driven by G-Brownian motion
Lin, Qian; Tian, Dejian; Tian, Weidong - In: Mathematics and financial economics 14 (2020) 3, pp. 547-576
Persistent link: https://www.econbiz.de/10012240314
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Neyman-Pearson hedging and dynamic measures of risk
Kohlmann, Michael - 2000
Persistent link: https://www.econbiz.de/10001475180
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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533
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Existence of arrow-debreu equilibrium with generalized stochastic differential utility
Beißner, Patrick - 2011
This paper establishes, in the setting of Brownian information, a general equilibrium existence result under a stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by a backward stochastic differential equation and...
Persistent link: https://www.econbiz.de/10008937554
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Dynamic risk measures for processes via backward stochastic differential equations
Ji, Ronglin; Shi, Xuejun; Wang, Shijie; Zhou, Jinming - In: Insurance / Mathematics & economics 86 (2019), pp. 43-50
Persistent link: https://www.econbiz.de/10012058682
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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
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Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model
Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287
Persistent link: https://www.econbiz.de/10011350647