DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES

DOI10.1111/j.1467-9965.2007.00317.xzbMath1138.91502OpenAlexW2028548809MaRDI QIDQ3502167

Publication date: 22 May 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00317.x

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Utility theory (91B16)

Related Items

Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver, Risk measurement and risk-averse control of partially observable discrete-time Markov systems, Pricing Principle via Tsallis Relative Entropy in Incomplete Markets, A control approach to robust utility maximization with logarithmic utility and time-consistent penalties, Backward stochastic difference equations for dynamic convex risk measures on a binomial tree, Unnamed Item, Backward Stochastic Difference Equations with Finite States, TheS-Related Dynamic Convex Valuation in the Brownian Motion Setting, AnS-Related DCV Generated by a Convex Function in a Jump Market, Time consistency for set-valued dynamic risk measures for bounded discrete-time processes, Dynamic no-good-deal pricing measures and extension theorems for linear operators on \(L^\infty\), Convexity and sublinearity of \(g\)-expectations, Scalar Multivariate Risk Measures with a Single Eligible Asset, Hedging under generalized good-deal bounds and model uncertainty, Time-Coherent Risk Measures for Continuous-Time Markov Chains, Risk-averse dynamic programming for Markov decision processes, On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation, Optimal stopping for dynamic convex risk measures, Tail VaR Measures in a Multi-period Setting, Dynamic risk measures for processes via backward stochastic differential equations, Optimal Control of Conditional Value-at-Risk in Continuous Time, Recursiveness of indifference prices and translation-invariant preferences, Convex risk measures on Orlicz spaces: inf-convolution and shortfall, Risk forms: representation, disintegration, and application to partially observable two-stage systems, VALUATIONS AND DYNAMIC CONVEX RISK MEASURES, Recent advances in reinforcement learning in finance, Convex pricing by a generalized entropy penalty, Risk measuring under model uncertainty, On dynamic deviation measures and continuous-time portfolio optimization, Perfect hedging under endogenous permanent market impacts, GOOD DEAL BOUNDS WITH CONVEX CONSTRAINTS, An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior, Representation of the penalty term of dynamic concave utilities, Dynamic risk measures: Time consistency and risk measures from BMO martingales, Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach, Fully-Dynamic Risk-Indifference Pricing and No-Good-Deal Bounds, Multi-portfolio time consistency for set-valued convex and coherent risk measures, Risk measure pricing and hedging in incomplete markets, Partial equilibria with convex capital requirements: existence, uniqueness and stability, Time consistency of dynamic risk measures in markets with transaction costs, Pricing and hedging European options with discrete-time coherent risk, SUPERHEDGING IN ILLIQUID MARKETS, Martingale problem under nonlinear expectations, TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS, Reflected backward stochastic differential equations and a class of non-linear dynamic pricing rule, Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals, A general theory of finite state backward stochastic difference equations, Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles, Gain-loss based convex risk limits in discrete-time trading, ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS, MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION, Risk sharing for capital requirements with multidimensional security markets, The strictest common relaxation of a family of risk measures, Gas storage valuation in incomplete markets, A general comparison theorem for backward stochastic differential equations, Analysis of futures and spot electricity markets under risk aversion, Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures, Dynamically consistent investment under model uncertainty: the robust forward criteria, OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING, A class of stochastic Fredholm-algebraic equations and applications in finance, The Dynamicq-Valuation of a Contingent Claim in a Continuous Market Model, Optimal static-dynamic hedges for exotic options under convex risk measures, Time consistent dynamic risk processes, OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS, FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY, A maximum principle approach to risk indifference pricing with partial information, A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective, Weak topologies for modules over rings of bounded random variables, COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME, To split or not to split: Capital allocation with convex risk measures, The Dynamic Convex Valuation Related to the Price Process in a Market with General Jumps, Deep hedging, RISK INDIFFERENCE PRICING IN JUMP DIFFUSION MARKETS, Hedging-based utility risk measure customized for individual investors, Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk, FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES, Time-consistency of risk measures: how strong is such a property?, Robust Portfolio Choice and Indifference Valuation, Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures, Forward indifference valuation of American options, CONVEX RISK MEASURES FOR GOOD DEAL BOUNDS, Process-based risk measures and risk-averse control of discrete-time systems, Weakly time consistent concave valuations and their dual representations

Cites Work