Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

DOI10.1007/s00780-012-0176-1zbMath1262.91091arXiv1002.3627OpenAlexW2157933738MaRDI QIDQ693031

Beatrice Acciaio, Hans Föllmer, Irina Penner

Publication date: 7 December 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.3627

zbMATH Keywords

bubblesmodel ambiguitytime consistencyasymptotic safetyrobust representationcash subadditivitydiscounting ambiguitydynamic convex risk measurescash flowsdynamic penalisation

Mathematics Subject Classification ID

Related Items (21)

Conditional preference orders and their numerical representations ⋮ Asymptotically stable dynamic risk assessments ⋮ Cash subadditive risk measures for portfolio vectors ⋮ Time consistency for set-valued dynamic risk measures for bounded discrete-time processes ⋮ Set-valued dynamic risk measures for processes and for vectors ⋮ ARBITRAGE BOUNDS FOR PRICES OF WEIGHTED VARIANCE SWAPS ⋮ Acceptability maximization ⋮ Risk measures for processes and BSDEs ⋮ SET-VALUED DYNAMIC RISK MEASURES FOR BOUNDED DISCRETE-TIME PROCESSES ⋮ ARE TIME CONSISTENT VALUATIONS INFORMATION MONOTONE? ⋮ DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES ⋮ Dynamic systemic risk measures for bounded discrete time processes ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets ⋮ Dynamic assessment indices ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Weak topologies for modules over rings of bounded random variables ⋮ A Unified Approach to Time Consistency of Dynamic Risk Measures and Dynamic Performance Measures in Discrete Time ⋮ Updating pricing rules ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ Unnamed Item ⋮ MULTIVARIATE DYNAMIC CASH SUB-ADDITIVE RISK MEASURES FOR PROCESSES

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