A Dynamic Extension of the Foster-Hart Measure of Riskiness

13 Pages Posted: 27 Sep 2014 Last revised: 8 Nov 2014

See all articles by Tobias Hellmann

Tobias Hellmann

Bielefeld University - Center for Mathematical Economics

Frank Riedel

Bielefeld University - Center for Mathematical Economics

Date Written: September 26, 2014

Abstract

We analyze the Foster-Hart measure of riskiness for general distributions in dynamic settings. The Foster-Hart measure avoids bankruptcy in the long run. It is not time-consistent.

Keywords: Dynamic Risk Measures, Time-Consistency, Bankruptcy, Continuous Random Variable

JEL Classification: D81, G11

Suggested Citation

Hellmann, Tobias and Riedel, Frank, A Dynamic Extension of the Foster-Hart Measure of Riskiness (September 26, 2014). Institute of Mathematical Economics Working Paper No. 528, Available at SSRN: https://ssrn.com/abstract=2501645 or http://dx.doi.org/10.2139/ssrn.2501645

Tobias Hellmann

Bielefeld University - Center for Mathematical Economics ( email )

Postfach 10 01 31
Bielefeld, D-33501
Germany

Frank Riedel (Contact Author)

Bielefeld University - Center for Mathematical Economics ( email )

Postfach 10 01 31
Bielefeld, D-33501
Germany

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