A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations
Portfolio Management
2018-08-15 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, we provide a representation theorem for dynamic capital allocation under It{\^o}-L{\'e}vy model. We consider the representation of dynamic risk measures defined under Backward Stochastic Differential Equations (BSDE) with generators that grow quadratic-exponentially in the control variables. Dynamic capital allocation is derived from the differentiability of BSDEs with jumps. The results are illustrated by deriving a capital allocation representation for dynamic entropic risk measure and static coherent risk measure.
Keywords
Cite
@article{arxiv.1808.04611,
title = {A note on representation of BSDE-based dynamic risk measures and dynamic capital allocations},
author = {Lesedi Mabitsela and Calisto Guambe and Rodwell Kufakunesu},
journal= {arXiv preprint arXiv:1808.04611},
year = {2018}
}
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