scientific article; zbMATH DE number 5710619

MaRDI QIDQ3562472zbMATH OpenFDO

Authors Sina Tutsch

Publication date 21 May 2010

Full work available at URL http://edoc.hu-berlin.de/dissertationen/tutsch-sina-2006-11-06/PDF/tutsch.pdf

zbMATH Keywords

consecutivityconsistencydynamic convex risk measuresupdating

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Recommendations

• Dynamic convex risk measures: time consistency, prudence, and sustainability.
• Time consistency of dynamic risk measures
• Dynamic risk measures under model uncertainty
• Update rules for convex risk measures
• Building up time-consistency for risk measures and dynamic optimization
• Time consistent dynamic risk measures
• Dynamic risk measures within discrete-time risk models
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time

Cited in

(6)

• Strongly consistent multivariate conditional risk measures
• Financial asset price bubbles under model uncertainty
• Conditional and dynamic convex risk measures
• Weakly time consistent concave valuations and their dual representations
• Update rules for convex risk measures
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

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