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Search: subject:"dynamic penalisation"
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Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Acciaio, Beatrice
;
Föllmer, Hans
;
Penner, Irina
-
London School of Economics (LSE)
-
2012
supermartingale criteria for time consistency. In particular, we show how “bubbles” may appear in the
dynamic
penalisation
, and how …
Persistent link: https://www.econbiz.de/10011071088
Saved in:
2
Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles
Acciaio, Beatrice
;
Föllmer, Hans
;
Penner, Irina
- In:
Finance and Stochastics
16
(
2012
)
4
,
pp. 669-709
in the
dynamic
penalisation
, and how they cause a breakdown of asymptotic safety of the risk assessment procedure …
Persistent link: https://www.econbiz.de/10010997036
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