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

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Cited by:

  1. Bellini, Fabio & Laeven, Roger J.A. & Rosazza Gianin, Emanuela, 2021. "Dynamic robust Orlicz premia and Haezendonck–Goovaerts risk measures," European Journal of Operational Research, Elsevier, vol. 291(2), pages 438-446.
  2. Cohen, Samuel N., 2012. "Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1601-1626.
  3. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2015. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Working Papers hal-01141801, HAL.
  4. Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
  5. Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
  6. Tomasz R. Bielecki & Igor Cialenco & Hao Liu, 2023. "Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions," Papers 2309.02570, arXiv.org, revised Sep 2023.
  7. Daniel, Engelage, 2011. "Optimal stopping with dynamic variational preferences," Journal of Economic Theory, Elsevier, vol. 146(5), pages 2042-2074, September.
  8. Jocelyne Bion-Nadal, 2008. "Time Consistent Dynamic Limit Order Books Calibrated on Options," Papers 0809.3824, arXiv.org.
  9. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2019. "Time-consistency of risk measures: how strong is such a property?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(1), pages 287-317, June.
  10. Rudloff, Birgit & Street, Alexandre & Valladão, Davi M., 2014. "Time consistency and risk averse dynamic decision models: Definition, interpretation and practical consequences," European Journal of Operational Research, Elsevier, vol. 234(3), pages 743-750.
  11. Beatrice Acciaio & Irina Penner, 2010. "Dynamic risk measures," Papers 1002.3794, arXiv.org.
  12. Beatrice Acciaio & Hans Föllmer & Irina Penner, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," Finance and Stochastics, Springer, vol. 16(4), pages 669-709, October.
  13. Bion-Nadal, Jocelyne, 2009. "Time consistent dynamic risk processes," Stochastic Processes and their Applications, Elsevier, vol. 119(2), pages 633-654, February.
  14. Jocelyne Bion-Nadal & Giulia Nunno, 2013. "Dynamic no-good-deal pricing measures and extension theorems for linear operators on L ∞," Finance and Stochastics, Springer, vol. 17(3), pages 587-613, July.
  15. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2019. "Dynamic risk measures for processes via backward stochastic differential equations," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 43-50.
  16. Tomasz R. Bielecki & Igor Cialenco & Marcin Pitera, 2016. "A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective," Papers 1603.09030, arXiv.org, revised Jan 2017.
  17. Roorda Berend & Schumacher Hans, 2013. "Membership conditions for consistent families of monetary valuations," Statistics & Risk Modeling, De Gruyter, vol. 30(3), pages 255-280, August.
  18. Antoon Pelsser & Mitja Stadje, 2014. "Time-Consistent And Market-Consistent Evaluations," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 25-65, January.
  19. Hampus Engsner & Filip Lindskog & Julie Thoegersen, 2021. "Multiple-prior valuation of cash flows subject to capital requirements," Papers 2109.00306, arXiv.org.
  20. Nicole Bäuerle & Jonathan Ott, 2011. "Markov Decision Processes with Average-Value-at-Risk criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(3), pages 361-379, December.
  21. Samuel N. Cohen & Tanut Treetanthiploet, 2019. "Gittins' theorem under uncertainty," Papers 1907.05689, arXiv.org, revised Jun 2021.
  22. Zachary Feinstein & Birgit Rudloff, 2012. "Multiportfolio time consistency for set-valued convex and coherent risk measures," Papers 1212.5563, arXiv.org, revised Oct 2014.
  23. Alonso-Ayuso, Antonio & Escudero, Laureano F. & Guignard, Monique & Weintraub, Andres, 2018. "Risk management for forestry planning under uncertainty in demand and prices," European Journal of Operational Research, Elsevier, vol. 267(3), pages 1051-1074.
  24. Elisa Mastrogiacomo & Emanuela Rosazza Gianin, 2015. "Time-consistency of cash-subadditive risk measures," Papers 1512.03641, arXiv.org.
  25. Beatrice Acciaio & Hans Foellmer & Irina Penner, 2010. "Risk assessment for uncertain cash flows: Model ambiguity, discounting ambiguity, and the role of bubbles," Papers 1002.3627, arXiv.org.
  26. Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
  27. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
  28. Yi-Ting Chen & Edward W. Sun & Yi-Bing Lin, 2019. "Coherent quality management for big data systems: a dynamic approach for stochastic time consistency," Annals of Operations Research, Springer, vol. 277(1), pages 3-32, June.
  29. D. Madan & M. Pistorius & M. Stadje, 2017. "On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation," Finance and Stochastics, Springer, vol. 21(4), pages 1073-1102, October.
  30. Jocelyne Bion-Nadal & Giulia Di Nunno, 2011. "Extension theorems for linear operators on $L_\infty$ and application to price systems," Papers 1102.5501, arXiv.org.
  31. Xavier De Scheemaekere, 2009. "Upper and lower bounds on dynamic risk indifference prices in incomplete markets," Papers 0909.3219, arXiv.org, revised Sep 2010.
  32. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
  33. Engelage, Daniel, 2009. "Optimal Stopping with Dynamic Variational Preferences," Bonn Econ Discussion Papers 20/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
  34. Miryana Grigorova & Peter Imkeller & Elias Offen & Youssef Ouknine & Marie-Claire Quenez, 2015. "Reflected BSDEs when the obstacle is not right-continuous and optimal stopping," Papers 1504.06094, arXiv.org, revised May 2017.
  35. Dilip B. Madan & Martijn Pistorius & Wim Schoutens, 2017. "Conic Trading In A Markovian Steady State," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-22, March.
  36. Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.
  37. Biagini, Sara & Bion-Nadal, Jocelyne, 2014. "Dynamic quasi concave performance measures," Journal of Mathematical Economics, Elsevier, vol. 55(C), pages 143-153.
  38. Homem-de-Mello, Tito & Pagnoncelli, Bernardo K., 2016. "Risk aversion in multistage stochastic programming: A modeling and algorithmic perspective," European Journal of Operational Research, Elsevier, vol. 249(1), pages 188-199.
  39. Dilip B. Madan & Wim Schoutens & King Wang, 2017. "Measuring And Monitoring The Efficiency Of Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-32, December.
  40. Alessandro Doldi & Marco Frittelli, 2021. "Real-Valued Systemic Risk Measures," Mathematics, MDPI, vol. 9(9), pages 1-24, April.
  41. Engsner, Hampus & Lindskog, Filip & Thøgersen, Julie, 2023. "Multiple-prior valuation of cash flows subject to capital requirements," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 41-56.
  42. Zachary Feinstein & Birgit Rudloff, 2018. "Time consistency for scalar multivariate risk measures," Papers 1810.04978, arXiv.org, revised Nov 2021.
  43. Dilip B. Madan, 2016. "Benchmarking in two price financial markets," Annals of Finance, Springer, vol. 12(2), pages 201-219, May.
  44. Ji, Ronglin & Shi, Xuejun & Wang, Shijie & Zhou, Jinming, 2022. "Convexity and sublinearity of g-expectations," Statistics & Probability Letters, Elsevier, vol. 189(C).
  45. Quenez, Marie-Claire & Sulem, Agnès, 2014. "Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps," Stochastic Processes and their Applications, Elsevier, vol. 124(9), pages 3031-3054.
  46. Alessandro Doldi & Marco Frittelli, 2020. "Conditional Systemic Risk Measures," Papers 2010.11515, arXiv.org, revised May 2021.
  47. Zachary Feinstein & Birgit Rudloff, 2018. "Scalar multivariate risk measures with a single eligible asset," Papers 1807.10694, arXiv.org, revised Feb 2021.
  48. Yanhong Chen & Zachary Feinstein, 2022. "Set-valued dynamic risk measures for processes and for vectors," Finance and Stochastics, Springer, vol. 26(3), pages 505-533, July.
  49. Dilip Madan, 2015. "Asset pricing theory for two price economies," Annals of Finance, Springer, vol. 11(1), pages 1-35, February.
  50. Acciaio, Beatrice & Föllmer, Hans & Penner, Irina, 2012. "Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles," LSE Research Online Documents on Economics 50118, London School of Economics and Political Science, LSE Library.
  51. Dejian Tian & Xunlian Wang, 2023. "Dynamic star-shaped risk measures and $g$-expectations," Papers 2305.02481, arXiv.org.
  52. Zachary Feinstein & Birgit Rudloff, 2015. "Multi-portfolio time consistency for set-valued convex and coherent risk measures," Finance and Stochastics, Springer, vol. 19(1), pages 67-107, January.
  53. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  54. Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
  55. Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010. "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, vol. 14(3), pages 449-472, September.
  56. Wing Fung Chong & Ying Hu & Gechun Liang & Thaleia Zariphopoulou, 2019. "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior," Finance and Stochastics, Springer, vol. 23(1), pages 239-273, January.
  57. Sara Biagini & Jocelyne Bion-Nadal, 2012. "Dynamic quasi-concave performance measures," Papers 1212.3958, arXiv.org.
  58. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2024. "Geometric BSDEs," Papers 2405.09260, arXiv.org, revised Jul 2024.
  59. Roger J. A. Laeven & Emanuela Rosazza Gianin & Marco Zullino, 2023. "Dynamic Return and Star-Shaped Risk Measures via BSDEs," Papers 2307.03447, arXiv.org, revised Jul 2023.
  60. c{C}au{g}{i}n Ararat & Bar{i}c{s} Bilir & Elisa Mastrogiacomo, 2022. "Decomposable sums and their implications on naturally quasiconvex risk measures," Papers 2201.05686, arXiv.org.
  61. Hampus Engsner & Kristoffer Lindensjo & Filip Lindskog, 2018. "The value of a liability cash flow in discrete time subject to capital requirements," Papers 1808.03328, arXiv.org.
  62. Samuel N. Cohen, 2011. "Representing filtration consistent nonlinear expectations as $g$-expectations in general probability spaces," Papers 1102.5287, arXiv.org.
  63. Davi Michel Valladão & Álvaro Veiga & Alexandre Street, 2018. "A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1021-1032, April.
  64. Holly Brannelly & Andrea Macrina & Gareth W. Peters, 2021. "Stochastic measure distortions induced by quantile processes for risk quantification and valuation," Papers 2201.02045, arXiv.org.
  65. Hampus Engsner & Kristoffer Lindensjö & Filip Lindskog, 2020. "The value of a liability cash flow in discrete time subject to capital requirements," Finance and Stochastics, Springer, vol. 24(1), pages 125-167, January.
  66. Alessandro Calvia & Emanuela Rosazza Gianin, 2019. "Risk measures and progressive enlargement of filtration: a BSDE approach," Papers 1904.13257, arXiv.org, revised Mar 2020.
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