MONETARY VALUATION OF CASH FLOWS UNDER KNIGHTIAN UNCERTAINTY

DOI10.1142/S0219024911006231zbMath1208.91170OpenAlexW2042055575MaRDI QIDQ3086253

Irina Penner, Hans Föllmer

Publication date: 30 March 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006231

zbMATH Keywords

bubblesKnightian uncertaintymodel ambiguityrobust representationdiscounting ambiguitydynamic convex risk measurescash flowsconcave monetary valuations

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (4)

Asymptotically stable dynamic risk assessments ⋮ Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ VECTOR-VALUED COHERENT RISK MEASURE PROCESSES

Cites Work

• Dynamic monetary risk measures for bounded discrete-time processes
• Dynamic risk measures: Time consistency and risk measures from BMO martingales
• Convex measures of risk and trading constraints
• Coherent multiperiod risk adjusted values and Bellman's principle
• Conditional and dynamic convex risk measures
• Coherent Measures of Risk
• RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Application of Coherent Risk Measures to Capital Requirements in Insurance

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