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Representation of the penalty term of dynamic concave utilities

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  • Freddy Delbaen
  • Shige Peng
  • Emanuela Rosazza Gianin

Abstract

In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.

Suggested Citation

  • Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2008. "Representation of the penalty term of dynamic concave utilities," Papers 0802.1121, arXiv.org, revised Dec 2009.
    • Handle: RePEc:arx:papers:0802.1121
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    File URL: http://arxiv.org/pdf/0802.1121
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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.
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    Cited by:

    1. Riedel, Frank, 2010. "Optimal Stopping under Ambiguity in Continuous Time," Center for Mathematical Economics Working Papers 429, Center for Mathematical Economics, Bielefeld University.
    2. Horst, Ulrich & Pirvu, Traian A. & Dos Reis, Gonçalo, 2010. "On securitization, market completion and equilibrium risk transfer," SFB 649 Discussion Papers 2010-010, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Zachary Feinstein & Birgit Rudloff, 2013. "Time consistency of dynamic risk measures in markets with transaction costs," Quantitative Finance, Taylor & Francis Journals, vol. 13(9), pages 1473-1489, September.
    4. Jocelyne Bion-Nadal & Magali Kervarec, 2010. "Risk measuring under model uncertainty," Papers 1004.5524, arXiv.org, revised Dec 2010.

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