Randomized stopping times and coherent multiperiod risk measures

DOI10.1080/17442508.2010.523467MaRDI QIDQ3017918zbMATH OpenOpenAlexFDO

Authors Hyejin Ku

Publication date 20 July 2011

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2010.523467

zbMATH Keywords

coherent risk measuresmultiperiod riskrandomized stopping times

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Convex measures of risk and trading constraints
• Dynamic coherent risk measures
• Liquidity Risk with Coherent Risk Measures
• Pareto Equilibria with coherent measures of risk
• Randomized stopping times and American option pricing with transaction costs
• Randomized Stopping Times in Dynkin Games
• Satisfying convex risk limits by trading
• Shuffling Cards and Stopping Times
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(1)

• From the decompositions of a stopping time to risk premium decompositions

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