1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.RM2023★ 1 cited
Singular Control in a Cash Management Model with Ambiguity
Arnon Archankul, Giorgio Ferrari, Tobias Hellmann +1
We consider a singular control model of cash reserve management, driven by a diffusion under ambiguity. The manager is assumed to have maxmin preferences over a set of priors chara…
q-fin.RM2013
The Foster-Hart Measure of Riskiness for General Gambles
Frank Riedel, Tobias Hellmann
Foster and Hart proposed an operational measure of riskiness for discrete random variables. We show that their defining equation has no solution for many common continuous distribu…