We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎-martingale measure - a concept inspired by the well-known minimal-entropy martingale measure used in option pricing. While the minimal-entropy martingale measure is commonly...

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.

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.

Managing commodity price uncertainty is an integral part of many firms' business process. Firms adopt a variety of operational strategies to manage this uncertainty, subject to operational constraints such as finite procurement and processing capacities. The availability of financial derivative...

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

In the framework of Knightian uncertainty more precisely in the model introduced by Epstein and Schneider 3 different questions concerning the aspect of time-consistency, in the sense of m-stability or rectangularity, are studied.The first part describes an alternative description of...