REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS

DOI10.1142/S0219024914500320zbMath1309.91150OpenAlexW3124365090MaRDI QIDQ3191838

Eduard Kromer, Ludger Overbeck

Publication date: 25 September 2014

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

Full work available at URL: https://doi.org/10.1142/s0219024914500320

zbMATH Keywords

backward stochastic differential equationdynamic risk measureAumann-Shaley allocationdynamic entropic risk measuredynamic risk capital allocationfull allocation propertygradient allocation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)

Related Items

REPRESENTATION OF BSDE-BASED DYNAMIC RISK MEASURES AND DYNAMIC CAPITAL ALLOCATIONS ⋮ A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations ⋮ DIFFERENTIABILITY OF BSVIEs AND DYNAMIC CAPITAL ALLOCATIONS ⋮ Capital allocation à la Aumann-Shapley for non-differentiable risk measures ⋮ Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle ⋮ Path-dependent BSDEs with jumps and their connection to PPIDEs

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