Search Results - subject:"dynamic risk"

Minimal entropy and entropic risk measures : a unified framework via relative entropy

Sohns, Moritz - In: Risks : open access journal 13 (2025) 4, pp. 1-27

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...

Persistent link: https://www.econbiz.de/10015408397

Network measurement and influence mechanism of dynamic risk contagion among global stock markets : based on time-varying spillover index and complex network method

Bo, Yu; Ouyang, Haiqin; Guan, Chao; Lin, Binzhao - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10015135710

Multivariate dynamic cash sub-additive risk measures for processes

Sun, Fei; Luo, Kui; Feng, Yu - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-13

Persistent link: https://www.econbiz.de/10013371188

Contributions to the theory of dynamic risk measures

Schlotter, Ruben - 2021

Persistent link: https://www.econbiz.de/10013280212

Forecasting financial crashes : a dynamic risk management approach

Gerlach, Jan-Christian; Zhao, Dongshuai; Sornette, Didier - 2020

environment interspersed by corrections increasing in amplitude and frequency. This calls for more adaptive dynamic risk …

Persistent link: https://www.econbiz.de/10012419688

U.S. shale producers : a case of dynamic risk management?

Ferriani, Fabrizio; Veronese, Giovanni - 2019

Persistent link: https://www.econbiz.de/10012017772

Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading

Redeker, Imke; Wunderlich, Ralf - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 1-21

intermediate consumption and terminal wealth caused by imposing a dynamic risk constraint. We derive the dynamic programming …

Persistent link: https://www.econbiz.de/10014621259

Nonlinear time varying risk aversion and strategic optimal portfolio allocation

Olmo, Jose - 2015

Persistent link: https://www.econbiz.de/10011412827

A Dynamic Extension of the Foster-Hart Measure of Riskiness

Hellmann, Tobias; Riedel, Frank - 2014

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.

Persistent link: https://www.econbiz.de/10010427177

A Dynamic Extension of the Foster-Hart Measure of Riskiness

Hellmann, Tobias; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2014

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.

Persistent link: https://www.econbiz.de/10010928897