Add to ORKGHellmann T, Riedel F. A Dynamic Extension of the Foster-Hart Measure of Riskiness. Center for Mathematical Economics Working Papers. Vol 528. Bielefeld: Center for Mathematical Economics; 2014.We analyze the Foster-Hart measure of riskiness for general dis- tributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent
In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\s...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
In dynamic risk measurement the problem emerges of assessing the risk of a financial position at dif...
Riedel F, Hellmann T. The Foster-Hart measure of riskiness for general gambles. Working Papers. Inst...
Hellmann T, Riedel F. A Dynamic Extension of the Foster-Hart Measure of Riskiness. Journal of Mathem...
Foster and Hart proposed an operational measure of riskiness for dis-crete random variables. We show...
Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equatio...
Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equatio...
The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial...
Hellmann T. Essays on the Foster-Hart measure of riskiness and ambiguity in real options games. Biel...
The paper compares a number of available measures of financial risk and presents arguments in favor ...
Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank...
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk...
This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of d...
AbstractMonetary measures of risk like Value at Risk or Worst Conditional Expectation assess the ris...
In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\s...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
In dynamic risk measurement the problem emerges of assessing the risk of a financial position at dif...
Riedel F, Hellmann T. The Foster-Hart measure of riskiness for general gambles. Working Papers. Inst...
Hellmann T, Riedel F. A Dynamic Extension of the Foster-Hart Measure of Riskiness. Journal of Mathem...
Foster and Hart proposed an operational measure of riskiness for dis-crete random variables. We show...
Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equatio...
Foster and Hart propose a measure of riskiness for discrete random variables. Their defining equatio...
The paper provides an axiomatic characterization of dynamic risk measures for multi-period financial...
Hellmann T. Essays on the Foster-Hart measure of riskiness and ambiguity in real options games. Biel...
The paper compares a number of available measures of financial risk and presents arguments in favor ...
Dynamic risk measures play an important role for the acceptance or non-acceptance of risks in a bank...
This thesis deals with risk measures based on utility functions and time consistency of dynamic risk...
This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of d...
AbstractMonetary measures of risk like Value at Risk or Worst Conditional Expectation assess the ris...
In the context of complete financial markets, we study dynamic measures of the form \[ \rho(x;C):=\s...
Monetary measures of risk like Value at Risk or Worst Conditional Expectation assess the risk of fin...
In dynamic risk measurement the problem emerges of assessing the risk of a financial position at dif...