Monetary valuation of cash flows under Knightian uncertainty

DOI10.1142/S0219024911006231MaRDI QIDQ3086253zbMATH OpenOpenAlexFDO

Authors Hans Föllmer, Irina Penner

Publication date 30 March 2011

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024911006231

zbMATH Keywords

Knightian uncertaintymodel ambiguitybubblesrobust representationdiscounting ambiguitydynamic convex risk measurescash flowsconcave monetary valuations

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

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Cites work

• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• Conditional and dynamic convex risk measures
• Convex measures of risk and trading constraints
• Dynamic monetary risk measures for bounded discrete-time processes
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(8)

• Valuation of cash flows under random rates of interest: a linear algebraic approach
• Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
• Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty
• Asymptotically stable dynamic risk assessments
• An axiomatic approach to the valuation of cash flows
• A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
• Tractable valuations under uncertainty
• Vector-valued coherent risk measure processes

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