Time-Consistent and Market-Consistent Evaluations
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- Madan, Dilip & Pistorius, Martijn & Stadje, Mitja, 2016. "Convergence of BSΔEs driven by random walks to BSDEs: The case of (in)finite activity jumps with general driver," Stochastic Processes and their Applications, Elsevier, vol. 126(5), pages 1553-1584.
- Pelsser, Antoon & Salahnejhad Ghalehjooghi, Ahmad, 2016. "Time-consistent actuarial valuations," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 97-112.
- repec:eee:insuma:v:76:y:2017:i:c:p:14-27 is not listed on IDEAS
- Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
- repec:eee:insuma:v:74:y:2017:i:c:p:20-30 is not listed on IDEAS
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-09-16 (All new papers)
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