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Dynamic risk measures: Time consistency and risk measures from BMO martingales

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  • Jocelyne Bion-Nadal

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Suggested Citation

  • Jocelyne Bion-Nadal, 2008. "Dynamic risk measures: Time consistency and risk measures from BMO martingales," Finance and Stochastics, Springer, vol. 12(2), pages 219-244, April.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244
    DOI: 10.1007/s00780-007-0057-1
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    References listed on IDEAS

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    1. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    2. Föllmer Hans & Penner Irina, 2006. "Convex risk measures and the dynamics of their penalty functions," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-36, July.
    3. Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Dynamic risk measures; Conditional risk measures; Time consistency; BMO martingales; 91B30; 91B70; 60G44; 28A20; 46A20; D81; D52; C61;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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