A dynamic extension of the Foster–Hart measure of riskiness

Tobias Hellmann and Frank Riedel

Journal of Mathematical Economics, 2015, vol. 59, issue C, 66-70

Abstract: We analyze the Foster–Hart measure of riskiness for general distributions in dynamic settings. The Foster–Hart measure avoids bankruptcy in the long run. It is not time-consistent.

Keywords: Dynamic risk measures; Time-consistency; Bankruptcy; Continuous random variable (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Working Paper: A Dynamic Extension of the Foster-Hart Measure of Riskiness (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:59:y:2015:i:c:p:66-70

DOI: 10.1016/j.jmateco.2015.05.005

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