Representation of the penalty term of dynamic concave utilities

Abstract

In this paper we will 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.

An updated version is published in Finance & Stochastics. The final publication is available at http://www.springerlink.com

References in corpus (1)

• Convexity, translation invariance and subadditivity for $g$-expectations and related risk measures

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