Abstract
In the context of a Brownian filtration and with a fixed finite time horizon, we provide a representation of the penalty term of general dynamic concave utilities (hence of dynamic convex risk measures) by applying the theory of g-expectations.
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F. Delbaen’s research was sponsored by a grant of Credit Suisse and by a grant NCCR-FINRISK. The text only reflects the opinion of the authors. Part of the research was done while this author was visiting China in 2005, 2006, and 2007. The hospitality of Shandong University is greatly appreciated.
This work was done while E. Rosazza Gianin was appointed at the Università di Napoli Federico II, Italy. Part of this research was carried out during her visits in China in 2006 and at ETH in Zürich in 2004, 2006, and 2007. The warm hospitality of Shandong University and of ETH is gratefully acknowledged.
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Delbaen, F., Peng, S. & Rosazza Gianin, E. Representation of the penalty term of dynamic concave utilities. Finance Stoch 14, 449–472 (2010). https://doi.org/10.1007/s00780-009-0119-7
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DOI: https://doi.org/10.1007/s00780-009-0119-7
- Dynamic concave utilities
- Dynamic convex risk measures
- Penalty functions
- g-expectations
- Backward stochastic differential equations