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The Price of Dynamic Inconsistency for Distortion Risk Measures
The Price of Dynamic Inconsistency Distortion Risk Measures potentially inconsistent behavior.
2011/7/4
A proper framework for measuring and mitigating risk in dynamic settings is of utmost importance,
on both a practical, as well as a theoretical level. In recent years, coherent risk measures have eme...
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Optimal consumption investment bounded downside risk measures logarithmic utility functions
2010/10/18
We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in t...