scientific article; zbMATH DE number 5174019

zbMath1121.60043MaRDI QIDQ5294265

Freddy Delbaen

Publication date: 24 July 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

coherent risk measuretime consistencycapital requirementarbitrage theorydynamic risk measuresSnell envelopemartingale measurescapacity theoryshortfallcoherent utility functionsrisk neutral measures

Mathematics Subject Classification ID

Related Items (69)

Optimal stopping with random maturity under nonlinear expectations ⋮ Laws of large numbers under model uncertainty with an application to \(m\)-dependent random variables ⋮ Backward stochastic difference equations for dynamic convex risk measures on a binomial tree ⋮ Benchmarking in two price financial markets ⋮ Erratum: Coherent and convex risk measures for unbounded càdlàg processes ⋮ Solving optimal stopping problems under model uncertainty via empirical dual optimisation ⋮ On representations of the set of supermartingale measures and applications in discrete time ⋮ Acceptability indexes via \(g\)-expectations: an application to liquidity risk ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ On representations of the set of supermartingale measures and applications in continuous time ⋮ Hedging under generalized good-deal bounds and model uncertainty ⋮ On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation ⋮ Unnamed Item ⋮ 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 ⋮ Representation results for law invariant time consistent functions ⋮ VALUATIONS AND DYNAMIC CONVEX RISK MEASURES ⋮ On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration ⋮ Financial markets with volatility uncertainty ⋮ On admissible strategies in robust utility maximization ⋮ Accounting for risk aversion in derivatives purchase timing ⋮ Optimal stopping with expectation constraints ⋮ Risk measuring under model uncertainty ⋮ On the optional and orthogonal decompositions of supermartingales and applications ⋮ An algorithm for sequential tail value at risk for path-independent payoffs in a binomial tree ⋮ Asset prices in an ambiguous economy ⋮ On the optional and orthogonal decompositions of a class of semimartingales ⋮ The valuation of corporations: a derivative pricing perspective ⋮ Minimal supersolutions of convex BSDEs ⋮ Perfect hedging under endogenous permanent market impacts ⋮ Minimax theorems for American options without time-consistency ⋮ A supermartingale relation for multivariate risk measures ⋮ Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach ⋮ 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 ⋮ COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS ⋮ Multi-portfolio time consistency for set-valued convex and coherent risk measures ⋮ Optimal investments for risk- and ambiguity-averse preferences: a duality approach ⋮ The supermartingale property of the optimal wealth process for general semimartingales ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ Quantifying ambiguity bounds via time-consistent sets of indistinguishable models ⋮ The lower Snell envelope of smooth functions: an optional decomposition ⋮ Concentration of dynamic risk measures in a Brownian filtration ⋮ Coherent multiperiod risk adjusted values and Bellman's principle ⋮ Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles ⋮ Coherent and convex monetary risk measures for bounded càdlàg processes ⋮ Optimal stopping for non-linear expectations. I ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ A characterization of the set of local martingale measures ⋮ Risk measures via \(g\)-expectations ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Kolmogorov-type and general extension results for nonlinear expectations ⋮ The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time ⋮ Time consistent dynamic risk processes ⋮ Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Good deal hedging and valuation under combined uncertainty about drift and volatility ⋮ Financial asset price bubbles under model uncertainty ⋮ On a generalized optional decomposition theorem ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ Testing exchangeability: fork-convexity, supermartingales and e-processes ⋮ Time consistency for scalar multivariate risk measures ⋮ Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ Unnamed Item

This page was built for publication: