A dynamic extension of the Foster-Hart measure of riskiness
Year of publication: |
2014
|
---|---|
Authors: | Hellmann, Tobias ; Riedel, Frank |
Publisher: |
Bielefeld : Center for Mathematical Economics, IMW |
Subject: | Dynamic Risk Measures | Time-Consistency | Bankruptcy | Continuous Random Variable | Risikomaß | Risk measure | Zufallsvariable | Random variable | Insolvenz | Insolvency | Messung | Measurement | Zeitkonsistenz | Time consistency | Dynamische Wirtschaftstheorie | Economic dynamics | Risiko | Risk |
Description of contents: |
We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.
|
-
A dynamic extension of the Foster-Hart measure of riskiness
Hellmann, Tobias, (2015)
-
The Foster-Hart measure of riskiness for general gambles
Hellmann, Tobias, (2015)
-
The Foster-Hart measure of riskiness for general gambles : conference paper
Riedel, Frank, (2013)
- More ...
-
The Foster-Hart measure of riskiness for general gambles
Hellmann, Tobias, (2015)
-
The Foster-Hart Measure of Riskiness for General Gambles
Riedel, Frank, (2013)
-
A Dynamic Extension of the Foster-Hart Measure of Riskiness
Hellmann, Tobias, (2014)
- More ...