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

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Listed author(s):
  • Jocelyne Bion-Nadal

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0057-1
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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 12 (2008)
    Issue (Month): 2 (April)
    Pages: 219-244

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    Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:219-244
    DOI: 10.1007/s00780-007-0057-1
    Contact details of provider: Web page: http://www.springer.com

    Order Information: Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2

    Keywords: Dynamic risk measures; Conditional risk measures; Time consistency; BMO martingales; 91B30; 91B70; 60G44; 28A20; 46A20; D81; D52; C61;

    Find related papers by 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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    1. 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.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    3. S. Illeris & G. Akehurst, 2002. "Introduction," The Service Industries Journal, Taylor & Francis Journals, vol. 22(1), pages 1-3, January.
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