A Dynamic Extension of the Foster-Hart Measure of Riskiness
13 Pages Posted: 27 Sep 2014 Last revised: 8 Nov 2014
Date Written: September 26, 2014
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: Suggested Citation