On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Julio Backhoff-Veraguas, Ludovic Tangpi
| Year of publication: |
2020
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| Authors: | Backhoff-Veraguas, Julio ; Tangpi, Ludovic |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 3, p. 433-460
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| Subject: | Time-inconsistency | Risk measures | Optimized certainty equivalent | HJB equation | Viscosity solution | Unbounded stochastic control | Dynamic programming principle | Singular Hamiltonian | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Risiko | Risk | Risikomaß | Risk measure | Zeitkonsistenz | Time consistency | Messung | Measurement | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-020-00261-2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012240302