A Dynamic Extension of the Foster-Hart Measure of Riskiness

Hellmann T, Riedel F (2014) Center for Mathematical Economics Working Papers; 528.
Bielefeld: Center for Mathematical Economics.

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Working Paper | Published | English
Abstract
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.
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Hellmann 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.
Hellmann, T., & Riedel, F. (2014). A Dynamic Extension of the Foster-Hart Measure of Riskiness (Center for Mathematical Economics Working Papers, 528). Bielefeld: Center for Mathematical Economics.
Hellmann, T., and Riedel, F. (2014). A Dynamic Extension of the Foster-Hart Measure of Riskiness. Center for Mathematical Economics Working Papers, 528, Bielefeld: Center for Mathematical Economics.
Hellmann, T., & Riedel, F., 2014. A Dynamic Extension of the Foster-Hart Measure of Riskiness, Center for Mathematical Economics Working Papers, no.528, Bielefeld: Center for Mathematical Economics.
T. Hellmann and F. Riedel, A Dynamic Extension of the Foster-Hart Measure of Riskiness, Center for Mathematical Economics Working Papers, vol. 528, Bielefeld: Center for Mathematical Economics, 2014.
Hellmann, T., Riedel, F.: A Dynamic Extension of the Foster-Hart Measure of Riskiness. Center for Mathematical Economics Working Papers, 528. Center for Mathematical Economics, Bielefeld (2014).
Hellmann, Tobias, and Riedel, Frank. A Dynamic Extension of the Foster-Hart Measure of Riskiness. Bielefeld: Center for Mathematical Economics, 2014. Center for Mathematical Economics Working Papers. 528.
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