Representation of the penalty term of dynamic concave utilities

Freddy Delbaen, Shige Peng and Emanuela Rosazza Gianin

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Abstract: In this paper we will provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.

Date: 2008-02, Revised 2009-12
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0802.1121

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