动态凹效用惩罚项的表示
概率论
2009-12-16 v3 风险管理
摘要
本文通过应用 g-期望理论，提供了一般动态凹效用（从而也是动态凸风险度量）惩罚项的一种表示。
引用
@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}
}
备注
An updated version is published in Finance & Stochastics. The final publication is available at http://www.springerlink.com