A Dynamic Extension of the Foster-Hart Measure of Riskiness

Tobias Hellmann () and Frank Riedel

No 528, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: We analyze the Foster-Hart measure of riskiness for general dis- tributions 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)
Pages: 13
Date: 2014-10-16
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Citations: View citations in EconPapers (3)

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https://pub.uni-bielefeld.de/download/2699987/2902033 First Version, 2014 (application/x-download)

Related works:
Journal Article: A dynamic extension of the Foster–Hart measure of riskiness (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:528

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