Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Autoren

  • Thomas Knispel
  • Hans Föllmer

Organisationseinheiten

Externe Organisationen

  • Humboldt-Universität zu Berlin (HU Berlin)
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Details

OriginalspracheEnglisch
Seiten (von - bis)333-351
FachzeitschriftStochastics and Dynamics
Jahrgang2011
Ausgabenummer11(2-3)
PublikationsstatusVeröffentlicht - 2011

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Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations. / Knispel, Thomas; Föllmer, Hans.
in: Stochastics and Dynamics, Jahrgang 2011, Nr. 11(2-3), 2011, S. 333-351.

Publikation: Beitrag in Fachzeitschrift › Artikel › Forschung › Peer-Review

Knispel, Thomas ; Föllmer, Hans. / Entropic risk measures: coherence vs. convexity, model ambiguity, and robust large deviations. in: Stochastics and Dynamics. 2011 ; Jahrgang 2011, Nr. 11(2-3). S. 333-351.
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AU - Föllmer, Hans

N1 - Funding information: Thanks are due to Shigeo Kusuoka for a stimulating discussion and to an anonymous referee for several helpful comments. In part the results were obtained while the first author was visiting LMU Munich, funded by LMU Excellent; this support is gratefully acknowledged. For both authors, it is a special pleasure to dedicate this paper to Peter Imkeller on the occasion of his 60th birthday.

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