A dynamic extension of the Foster-Hart measure of riskiness

DOI10.1016/J.JMATECO.2015.05.005zbMATH Open1320.91045OpenAlexW3121135087MaRDI QIDQ492879FDOQ492879

Authors: Tobias Hellmann, Frank Riedel 

Publication date: 21 August 2015

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2015.05.005

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zbMATH Keywords

time-consistencybankruptcydynamic risk measurescontinuous random variable

Mathematics Subject Classification ID

Decision theory (91B06) Statistical methods; economic indices and measures (91B82)

Cites Work

• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY
• Title not available (Why is that?)
• Conditional and dynamic convex risk measures
• Stochastic finance. An introduction in discrete time
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic coherent risk measures
• A dynamic extension of the Foster-Hart measure of riskiness
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS

Cited In (7)

• Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes
• The Iterated Cte
• An energy-based measure for long-run horizon risk quantification
• Riskiness in gambles that belong to the same location-scale family and with well-defined means and variances
• A dynamic extension of the Foster-Hart measure of riskiness
• A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
• A note on Aumann and Serrano's index of riskiness

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