A dynamic extension of the Foster–Hart measure of riskiness
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DOI: 10.1016/j.jmateco.2015.05.005
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- Hellmann, Tobias & Riedel, Frank, 2014. "A Dynamic Extension of the Foster-Hart Measure of Riskiness," Center for Mathematical Economics Working Papers 528, Center for Mathematical Economics, Bielefeld University.
References listed on IDEAS
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Theoretical Economics, Econometric Society, vol. 10(1), January.
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- Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
- Riedel, Frank & Hellmann, Tobias, 2014. "The Foster-Hart measure of riskiness for general gambles," Center for Mathematical Economics Working Papers 474, Center for Mathematical Economics, Bielefeld University.
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Cited by:
- , & ,, 2015.
"The Foster-Hart measure of riskiness for general gambles,"
Theoretical Economics, Econometric Society, vol. 10(1), January.
- Hellmann, Tobias & Riedel, Frank, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79752, Verein für Socialpolitik / German Economic Association.
- Frank Riedel & Tobias Hellmann, 2013. "The Foster-Hart Measure of Riskiness for General Gambles," Papers 1301.1471, arXiv.org.
- Riedel, Frank & Hellmann, Tobias, 2014. "The Foster-Hart measure of riskiness for general gambles," Center for Mathematical Economics Working Papers 474, Center for Mathematical Economics, Bielefeld University.
- Tomer Siedner, 2015. "Risk of Monetary Gambles: An Axiomatic Approach," Discussion Paper Series dp682, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
- Leiss, Matthias & Nax, Heinrich H., 2018. "Option-implied objective measures of market risk," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 241-249.
- Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
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Keywords
Dynamic risk measures; Time-consistency; Bankruptcy; Continuous random variable;All these keywords.
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