Monetary valuation of cash flows under Knightian uncertainty
From MaRDI portal
Publication:3086253
DOI10.1142/S0219024911006231zbMATH Open1208.91170OpenAlexW2042055575MaRDI QIDQ3086253FDOQ3086253
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
Recommendations
- Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
- An axiomatic approach to the valuation of cash flows
- Valuing future cash flows with non separable discount factors and non additive subjective measures: conditional Choquet capacities on time and on uncertainty
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Weakly time consistent concave valuations and their dual representations
Knightian uncertaintymodel ambiguitybubblesrobust representationdiscounting ambiguitydynamic convex risk measurescash flowsconcave monetary valuations
Cites Work
- Coherent measures of risk
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Convex measures of risk and trading constraints
- Conditional and dynamic convex risk measures
- Dynamic monetary risk measures for bounded discrete-time processes
- Dynamic risk measures: Time consistency and risk measures from BMO martingales
- Coherent multiperiod risk adjusted values and Bellman's principle
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
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
This page was built for publication: Monetary valuation of cash flows under Knightian uncertainty
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3086253)
