Search Results - subject:"monetary utility functionals"

Monetary risk measures for stochastic processes via Orlicz duality

Kountzakis, Christos E.; Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10013380529

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John G. M. - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient … utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific … like policy iteration, dual and consumption based approaches are developed in the context of general dynamic monetary …

Persistent link: https://www.econbiz.de/10010276719

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Persistent link: https://www.econbiz.de/10008527066

Coherent and convex monetary risk measures for unbounded càdlàg processes

Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael - In: Finance and Stochastics 10 (2006) 3, pp. 427-448

Persistent link: https://www.econbiz.de/10005184390

Coherent and convex monetary risk measures for unbounded càdlàg processes

Cheridito, Patrick; Delbaen, Freddy; Kupper, Michael - In: Finance and Stochastics 9 (2005) 3, pp. 369-387

Assume that the random future evolution of values is modelled in continuous time. Then, a risk measure can be viewed as a functional on a space of continuous-time stochastic processes. In this paper we study coherent and convex monetary risk measures on the space of all càdlàg processes that...

Persistent link: https://www.econbiz.de/10005759616