We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist … of singular measures corresponding to a general form of volatility uncertainty. We derive a càdlàg nonlinear martingale … similar to the optional decomposition. Furthermore, we prove an optional sampling theorem for the nonlinear martingale and …

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

indicate that it could be possible for a capital income tax increase not to stimulate risk taking even if the tax code provides … the attractive full loss offset provisions. However, risk taking can be stimulated if the investor interprets part of the … tax as a loss instead as a reduced gain. Then investor becomes risk seeking and moves away from the discomfort zone of …