Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs-Reference-Cited by-同舟云学术

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Fully Dynamic Risk Measures: Horizon Risk, Time-Consistency, and Relations with BSDEs and BSVIEs

Published:2024-05-21 Issue:2 Volume:15 Page:399-435
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Di Nunno Giulia¹,Gianin Emanuela Rosazza²

Affiliation:

1. Department of Mathematics, University of Oslo, Blindern, N-0316 Oslo, Norway, and NHH - Norwegian School of Economics, N-5045 Bergen, Norway.

2. Department of Statistics and Quantitative Methods, University of Milano Bicocca, 20126, Milano, Italy.

Funder

Research Council of Norway

GNAMPA

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Reference28 articles.

1. Dynamic Risk Measures

2. Dynamic risk measure for BSVIE with jumps and semimartingale issues

3. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective

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

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Uncertainty Propagation and Dynamic Robust Risk Measures;Mathematics of Operations Research;2024-08-09

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