Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103918
Authors: 
Hellmann, Tobias
Riedel, Frank
Year of Publication: 
2014
Series/Report no.: 
Working Papers, Center for Mathematical Economics 528
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.
Subjects: 
Dynamic Risk Measures
Time-Consistency
Bankruptcy
Continuous Random Variable
JEL: 
D81
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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