Download This PaperA 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
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: 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
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