Dynamic convex risk measures: time consistency, prudence, and sustainability
نویسنده
چکیده
منابع مشابه
Backward stochastic difference equations for dynamic convex risk measures on a binomial tree
Using backward stochastic difference equations (BSDEs), this paper studies dynamic convex risk measures for risky positions in a simple discretetime, binomial tree model. A relationship between BSDEs and dynamic convex risk measures is developed using nonlinear expectations. The time consistency of dynamic convex risk measures is discussed in the binomial tree framework. A relationship between ...
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