Representation of the penalty term of dynamic concave utilities

In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.

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Year of publication:	2008-02
Authors:	Delbaen, Freddy ; Peng, Shige ; Gianin, Emanuela Rosazza
Institutions:	arXiv.org

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Extent:	application/pdf
Series:	Papers.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008579090