Maturity-Independent Risk Measures
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Abstract: The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk measures cannot be used to build maturity-independent counterparts. We construct a large class of maturity-independent risk measures and give representative examples in both continuous- and discrete-time financial models.
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- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
- Horizon-unbiased investment with ambiguity
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- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Explicit description of HARA forward utilities and their optimal portfolios
- Three essays on exponential hedging with variable exit times
- Forward exponential indifference valuation in an incomplete binomial model
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- An ergodic BSDE risk representation in a jump-diffusion framework
- Systems of ergodic BSDEs arising in regime switching forward performance processes
- Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE
- Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
- Optimal investment in defined contribution pension schemes with forward utility preferences
- Time-consistent pension policy with minimum guarantee and sustainability constraint
- Optimal investment and consumption with forward preferences and uncertain parameters
- Robust forward investment and consumption under drift and volatility uncertainties: a randomization approach
- Risk-indifference pricing of American-style contingent claims
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