Representation of the penalty term of dynamic concave utilities
Probability
2009-12-16 v3 Risk Management
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.
Keywords
Cite
@article{arxiv.0802.1121,
title = {Representation of the penalty term of dynamic concave utilities},
author = {Freddy Delbaen and Shige Peng and Emanuela Rosazza Gianin},
journal= {arXiv preprint arXiv:0802.1121},
year = {2009}
}
Comments
An updated version is published in Finance & Stochastics. The final publication is available at http://www.springerlink.com