18 citations · 63 across the 38 of their papers we have counts for
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math.OC2016★ 3 cited
On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Julio Backhoff Veraguas, Ludovic Tangpi
It is well-known from the work of Kupper and Schachermayer that most law-invariant risk measures do not admit a time-consistent representation. In this work we show that in a Brown…
q-fin.MF2016★ 3 cited
Duality formulas for robust pricing and hedging in discrete time
Patrick Cheridito, Michael Kupper, Ludovic Tangpi
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we a…