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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| Veröffentlicht | Englisch
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Abstract / Bemerkung
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.
Stichworte
Dynamic Risk Measures;
Time-Consistency;
Bankruptcy;
Continuous Random Variable
Erscheinungsjahr
2014
Serientitel
Center for Mathematical Economics Working Papers
Band
528
Seite(n)
13
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2699987
Zitieren
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, Tobias, and Riedel, Frank. 2014. A Dynamic Extension of the Foster-Hart Measure of Riskiness. Vol. 528. Center for Mathematical Economics Working Papers. 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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