Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

DOI10.1007/s00780-012-0176-1zbMath1262.91091arXiv1002.3627OpenAlexW2157933738MaRDI QIDQ693031

Beatrice Acciaio, Hans Föllmer, Irina Penner

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.3627

zbMATH Keywords

bubblesmodel ambiguitytime consistencyasymptotic safetyrobust representationcash subadditivitydiscounting ambiguitydynamic convex risk measurescash flowsdynamic penalisation

Mathematics Subject Classification ID

Utility theory (91B16) Signal detection and filtering (aspects of stochastic processes) (60G35)

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