Hans Föllmer, Alexander Schied
Abstract
Abstract We discuss the quantification of financial risk in terms of monetary risk measures. Special emphasis is on dual representations of convex risk measures, relations to expected utility and other valuation concepts, conditioning, and consistency in discrete time.
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Abstract We discuss the quantification of financial risk in terms of monetary risk measures. Special emphasis is on dual representations of convex risk measures, relations to expected utility and other valuation concepts, conditioning, and consistency in discrete time.
Key concepts: Time consistency, Consistency (knowledge bases), Valuation (finance), Regular polygon, Econometrics, Dual (grammatical number), Actuarial science, Coherent risk measure